Xiaochun Liu : Citation Profile

University of Alabama-Tuscaloosa

6

H index

4

i10 index

116

Citations

RESEARCH PRODUCTION:

24

Articles

8

Papers

RESEARCH ACTIVITY:

   18 years (2008 - 2026). See details.
   Cites by year: 6
   Journals where Xiaochun Liu has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 15 (11.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli1583
   Updated: 2026-06-06    RAS profile: 2026-06-03    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Liu, Xiaochun (4)

Liu, Xiaochun (3)

Liu, Xiaochun (3)

Stewart, Shamar (2)

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

Is cited by:

Nguyen, Hoang (10)

Kiss, Tamas (7)

Österholm, Pär (7)

GUPTA, RANGAN (5)

Mazur, Stepan (5)

Anatolyev, Stanislav (4)

Fiszeder, Piotr (3)

Naraidoo, Ruthira (3)

Karlsson, Sune (3)

Batten, Jonathan (3)

Yang, Minxian (2)

Cites to:

Liu, Xiaochun (29)

Liu, Xiaochun (28)

Liu, Xiaochun (28)

Engle, Robert (20)

Kilian, Lutz (19)

Rossi, Barbara (17)

Sarno, Lucio (16)

Bollerslev, Tim (16)

West, Kenneth (15)

Campbell, John (14)

Diebold, Francis (13)

Main data

Where Xiaochun Liu has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Journal of Financial Econometrics2
International Journal of Forecasting2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4
Papers / arXiv.org2

Recent works citing Xiaochun Liu (2026 and 2025)

YearTitle of citing document
2026Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

Full description at Econpapers || Download paper

2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

Full description at Econpapers || Download paper

2026Risk-return trade-off in international stock returns: Skewness and business cycles. (2026). Nyberg, Henri ; Savva, Christos S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:37:y:2026:i:c:p:42-60.

Full description at Econpapers || Download paper

2025Uncovering the risk-return trade-off through ridge regressions. (2025). Arag, Vicent ; Alemany, Nuria ; Salvador, Enrique. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014491.

Full description at Econpapers || Download paper

2025Media tone is a priced risk factor in currency markets. (2025). Pukthuanthong, Kuntara ; Heimonen, Kari ; Lehkonen, Heikki. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001621.

Full description at Econpapers || Download paper

2025Forecasting corporate bond returns amid climate change risk: A dynamic forecast combination approach. (2025). Guo, Yangli ; Luo, Qin ; Ma, Feng ; Zhong, Juandan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000592.

Full description at Econpapers || Download paper

2025Cautionary tales of fat tails. (2025). Dave, Chetan ; Dressler, Scott J ; Malik, Samreen. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:84:y:2025:i:c:s0164070425000163.

Full description at Econpapers || Download paper

2025Tail risk connectedness between DeFi and Islamic assets and their determinants. (2025). Do, Hung Xuan ; Hadhri, Sinda ; Hoque, Mohammad Enamul ; Billah, Mabruk. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007810.

Full description at Econpapers || Download paper

2026RE-VISITING THE DEBT-OUTPUT NEXUS FROM THE PERSPECTIVES OF LONG-TERM TREND AND SHORT-TERM VOLATILITY: AN APPLICATION OF THE THRESHOLD MODEL. (2026). Singh, Baljeet ; Narayan, Diviya ; Chen, Hong. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:29:y:2026:i:1e:p:97-118.

Full description at Econpapers || Download paper

2025Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2025). Basar, Ayse ; M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10617-1.

Full description at Econpapers || Download paper

2025AB-LSTM-GRU: A Novel Ensemble Composite Deep Neural Network Model for Exchange Rate Forecasting. (2025). Gu, Jincheng ; Zhang, Shiqi ; Yu, Yanling ; Liu, Feng. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10754-7.

Full description at Econpapers || Download paper

2025Boosting Carry with Equilibrium Exchange Rate Estimates. (2025). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek ; Ca, Michele. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-024-09795-0.

Full description at Econpapers || Download paper

2025Heterogeneous impacts of fundamentals on gold market risk using regime switching quantile-based GARCH-MIDAS model. (2025). Wang, Xinyu ; Shi, Song ; Cheng, Qiuying. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:3:d:10.1007_s00181-025-02772-7.

Full description at Econpapers || Download paper

2025The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5.

Full description at Econpapers || Download paper

2025A statistical-mathematical analysis of the macroeconomic effects of long-memory total factor productivity. (2025). Ferrentino, Rosa ; Vota, Luca. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:6:d:10.1007_s11135-025-02284-7.

Full description at Econpapers || Download paper

2025Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy. (2025). de Mendonça, Helder ; Vereda, Luciano ; Matos, Luan Mateus ; de Mendona, Helder Ferreira. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1884-1906.

Full description at Econpapers || Download paper

Works by Xiaochun Liu:

YearTitleTypeCited
2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary In: Papers.
[Full Text][Citation analysis]		paper3
2023Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary*.(2023) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary.(2020) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting In: Papers.
[Full Text][Citation analysis]		paper0
2026Quantile-based modeling of scale dynamics in financial returns for Value-at-Risk and Expected Shortfall forecasting.(2026) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018How is the Taylor Rule Distributed under Endogenous Monetary Regimes? In: International Review of Finance.
[Full Text][Citation analysis]		article3
2016Markov switching quantile autoregression In: Statistica Neerlandica.
[Full Text][Citation analysis]		article5
2013Markov-Switching Quantile Autoregression.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2018Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article3
2020QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article0
2021On fiscal and monetary policy-induced macroeconomic volatility dynamics In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2015Unfolded GARCH models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
2016A new approach to risk-return trade-off dynamics via decomposition In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2017Measuring systemic risk with regime switching in tails In: Economic Modelling.
[Full Text][Citation analysis]		article14
2008Chinas segmented stock market: An application of the conditional international capital asset pricing model In: Emerging Markets Review.
[Full Text][Citation analysis]		article4
2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article9
2023Structural sources of oil market volatility and correlation dynamics In: Energy Economics.
[Full Text][Citation analysis]		article5
2015Modeling time-varying skewness via decomposition for out-of-sample forecast In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2011Modeling the time-varying skewness via decomposition for out-of-sample forecast.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article11
2024Are exchange rates absorbers of global oil shocks? A generalized structural analysis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2019On tail fatness of macroeconomic dynamics In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article16
2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market? In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article1
2017An integrated macro-financial risk-based approach to the stressed capital requirement In: Review of Financial Economics.
[Full Text][Citation analysis]		article0
2017An integrated macro‐financial risk‐based approach to the stressed capital requirement.(2017) In: Review of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2018Structural Volatility Impulse Response Function and Asymptotic Inference In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2011The Dynamic International Optimal Hedge Ratio In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2013Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2019Cyclicality of stock market volatility In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2025Unfolded Skewness and Kurtosis Timings in Out-of-Sample Density Forecasts of Financial Returns In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated May, 3 2026. Contact: CitEc Team