Jennifer S.K. Chan : Citation Profile


Are you Jennifer S.K. Chan?

8

H index

5

i10 index

329

Citations

RESEARCH PRODUCTION:

30

Articles

5

Papers

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 13
   Journals where Jennifer S.K. Chan has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 17 (4.91 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch754
   Updated: 2024-07-05    RAS profile: 2021-01-31    
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Relations with other researchers


Works with:

NG, KOK HAUR (4)

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

Is cited by:

Fernandez Bariviera, Aurelio (8)

NG, KOK HAUR (7)

Corbet, Shaen (6)

Bekiros, Stelios (6)

lucey, brian (5)

Yarovaya, Larisa (4)

Umar, Zaghum (3)

Ahmed, Walid (3)

Shen, Dehua (3)

Matkovskyy, Roman (3)

Ruiz, Esther (3)

Cites to:

Shephard, Neil (14)

Bollerslev, Tim (14)

Choy, S.T. Boris (13)

Chen, Cathy W. S. (11)

McDonald, James (10)

Engle, Robert (8)

Chou, Ray (7)

Yu, Jun (7)

Omori, Yasuhiro (6)

Diebold, Francis (5)

Cummins, John (5)

Main data


Where Jennifer S.K. Chan has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis7
ASTIN Bulletin4
The North American Journal of Economics and Finance2
Journal of Applied Statistics2
Finance Research Letters2
Computational Statistics2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Jennifer S.K. Chan (2024 and 2023)


YearTitle of citing document
2023Detection and treatment of outliers for multivariate robust loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.03874.

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2023Predicting Non-Fungible Token (NFT) Collections: A Contextual Generative Approach. (2022). Chang, Ee-Chien ; Vuputuri, Akhil ; Tann, Wesley Joon-Wie. In: Papers. RePEc:arx:papers:2210.15493.

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2023Age and market capitalization drive large price variations of cryptocurrencies. (2023). Ribeiro, Haroldo V ; Perc, Matjaz. In: Papers. RePEc:arx:papers:2302.12319.

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2023Cryptocurrencies Are Becoming Part of the World Global Financial Market. (2023). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2303.00495.

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2023Collective dynamics, diversification and optimal portfolio construction for cryptocurrencies. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2304.08902.

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2023What is mature and what is still emerging in the cryptocurrency market?. (2023). Wkatorek, Marcin ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:2305.05751.

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2023An exploration of the mathematical structure and behavioural biases of financial crises. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2307.15402.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2023Is the cryptocurrency market a hedge against stock market risk? A Wavelet and GARCH approach. (2023). Sahu, Tarak N ; Jana, Susovon. In: Economic Notes. RePEc:bla:ecnote:v:52:y:2023:i:3:n:e12227.

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2023Collective infectivity of the pandemic over time and association with vaccine coverage and economic development. (2023). Menzies, Max ; James, Nick. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:176:y:2023:i:c:s0960077923010408.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Volatility 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.

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2024Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network. (2024). Ma, Shiqun ; Fang, Fang ; Wang, Xuetong ; Xiao, Zumian ; Xiang, Lijin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001584.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2023Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838.

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2023Emotions in the crypto market: Do photos really speak?. (2023). Phan, Hoa ; Huynh, Nhan. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003173.

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2023An exploration of the mathematical structure and behavioural biases of 21st century financial crises. (2023). Menzies, Max ; James, Nick. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008117.

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2023Measuring the response of clean energy stock price volatility to extreme shocks. (2023). Luo, Keyu ; Peng, Lijuan ; Wang, LU ; Zhang, LI. In: Renewable Energy. RePEc:eee:renene:v:206:y:2023:i:c:p:1289-1300.

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2023Comovement and instability in cryptocurrency markets. (2023). De Pace, Pierangelo ; Rao, Jayant. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:173-200.

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2023Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002070.

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2023Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094.

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2023How Elon Musks Twitter activity moves cryptocurrency markets. (2023). Ante, Lennart. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pa:s0040162522006333.

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2024Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models. (2024). Khaled, Djebbouri ; Tiwari, Sunil ; Cheng, Jiyang ; Shahzad, Umer ; Mahendru, Mandeep. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006236.

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2023.

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2023Hidden semi-Markov models for rainfall-related insurance claims. (2023). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Discussion Papers. RePEc:hhs:nhhfms:2023_017.

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2023Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting. (2023). , Tiago ; Alves, Silvio Fernando ; Jale, Jader Silva ; Dos, Fabio Sandro ; Felix, Kerolly Kedma. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:3:d:10.1007_s10614-022-10237-7.

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2023Relation Between Bitcoin and Its Forks: An Empirical Investigation. (2023). Hamed, Nidaa ; Farooq, Omar ; Ahmed, Neveen. In: Eastern Economic Journal. RePEc:pal:easeco:v:49:y:2023:i:2:d:10.1057_s41302-023-00247-0.

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2023Time-varying higher moments in Bitcoin. (2023). Laurini, Marcio Poletti ; Vieira, Leonardo Ieracitano. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-022-00072-8.

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2023Bayesian nonlinear expectation for time series modelling and its application to Bitcoin. (2023). Siu, Tak Kuen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02255-z.

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2023Weighted-indexed semi-Markov model: calibration and application to financial modeling. (2023). de Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00418-6.

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2023Artificial neural network analysis of the day of the week anomaly in cryptocurrencies. (2023). Akkaya, Neslihan Saygili ; Ate, Gizem ; Abaci, Hilal ; Tosunolu, Nuray. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00499-x.

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2023Forecasting returns volatility of cryptocurrency by applying various deep learning algorithms. (2023). Shaikh, Parvez Ahmed ; Khan, Faridoon. In: Future Business Journal. RePEc:spr:futbus:v:9:y:2023:i:1:d:10.1186_s43093-023-00200-9.

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2023Between financial and algorithmic dynamics of cryptocurrencies: An exploratory study. (2023). Nguyen, Canh ; Ling, Felicia Hui ; Schinckus, Christophe. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:3055-3070.

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2024The rapid growth of cryptocurrencies: How profitable is trading in digital money?. (2024). Manahov, Viktor. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2214-2229.

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2023Forecasting realized volatility of Bitcoin: The informative role of price duration. (2023). Tabche, Ibrahim ; Slim, Skander ; Karathanasopoulos, Andreas ; Osman, Mohamed ; Koubaa, Yosra. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:7:p:1909-1929.

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Works by Jennifer S.K. Chan:


YearTitleTypeCited
2014Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression In: Papers.
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paper0
2020Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19 In: Papers.
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paper29
2021Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19.(2021) In: Physica A: Statistical Mechanics and its Applications.
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This paper has nother version. Agregated cites: 29
article
2023Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks In: Papers.
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paper6
2021Time-varying neural network for stock return prediction In: Papers.
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paper0
2006Statistical Exploration from SARS In: The American Statistician.
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article1
2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2008Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution In: ASTIN Bulletin.
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article9
2007Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution.(2007) In: Research Paper Series.
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paper
2015RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES In: ASTIN Bulletin.
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article7
2018MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION In: ASTIN Bulletin.
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article1
2020MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS In: ASTIN Bulletin.
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article5
1998Statistical inference for geometric processes with lognormal distribution In: Computational Statistics & Data Analysis.
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article8
2004Statistical inference for geometric processes with gamma distributions In: Computational Statistics & Data Analysis.
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article3
2009Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output In: Computational Statistics & Data Analysis.
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article0
2011Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions In: Computational Statistics & Data Analysis.
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article2
2011Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures In: Computational Statistics & Data Analysis.
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article21
2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
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article1
2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
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article4
2017Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance.
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article3
2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data In: The North American Journal of Economics and Finance.
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article7
2018A new look at Cryptocurrencies In: Economics Letters.
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article146
2020On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin In: Econometrics and Statistics.
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article3
2019On long memory effects in the volatility measure of Cryptocurrencies In: Finance Research Letters.
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article35
2020On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure In: Finance Research Letters.
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article16
2013Bayesian analysis of loss reserving using dynamic models with generalized beta distribution In: Insurance: Mathematics and Economics.
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article8
2014Multivariate generalized Poisson geometric process model with scale mixtures of normal distributions In: Journal of Multivariate Analysis.
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article2
2005Monte Carlo approximation through Gibbs output in generalized linear mixed models In: Journal of Multivariate Analysis.
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article0
2019Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions In: International Review of Economics & Finance.
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article4
2010Binary geometric process model for the modeling of longitudinal binary data with trend In: Computational Statistics.
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article2
2011Bayesian approach to analysing longitudinal bivariate binary data with informative dropout In: Computational Statistics.
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article0
2014A Poisson geometric process approach for predicting drop-out and committed first-time blood donors In: Journal of Applied Statistics.
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article1
2016Robust Bayesian analysis of loss reserving data using scale mixtures distributions In: Journal of Applied Statistics.
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article0
2019Forecasting trade durations via ACD models with mixture distributions In: Quantitative Finance.
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article4
2007Bayesian analysis of constant elasticity of variance models In: Applied Stochastic Models in Business and Industry.
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article0

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