Fuchun Li : Citation Profile

Are you Fuchun Li?

Bank of Canada

7

H index

5

i10 index

205

Citations

RESEARCH PRODUCTION:

8

Articles

16

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 9
   Journals where Fuchun Li has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 6 (2.84 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli964
   Updated: 2023-08-19    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

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

Is cited by:

Kim, Hyeongwoo (18)

Shi, Wen (7)

Kim, Hyun Hak (6)

Panchenko, Valentyn (5)

van Dijk, Dick (5)

Acharya, Viral (4)

Diks, Cees (4)

Corradi, Valentina (4)

Swanson, Norman (4)

Mitchell, James (3)

Chen, Bin (3)

Cites to:

Coenen, Günter (10)

Diebold, Francis (10)

de Vries, Casper (9)

Reinhart, Carmen (9)

Renneboog, Luc (7)

Ait-Sahalia, Yacine (7)

Berndsen, Ron (7)

Smets, Frank (6)

Nelson, Edward (6)

Kaminsky, Graciela (6)

Neiss, Katharine (6)

Main data

Where Fuchun Li has published?

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada16

Recent works citing Fuchun Li (2022 and 2021)

YearTitle of citing document
2023Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02.

Full description at Econpapers || Download paper

2021Conditional Systemic Risk Measures. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2010.11515.

Full description at Econpapers || Download paper

2023$\Delta-$CoES. (2022). Leeuwenkamp, Aleksy. In: Papers. RePEc:arx:papers:2206.02582.

Full description at Econpapers || Download paper

2021Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50.

Full description at Econpapers || Download paper

2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

Full description at Econpapers || Download paper

2021Modeling the dependence structure and systemic risk of all listed insurance companies in the Chinese insurance market. (2021). Cao, Yufei. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:4:p:367-399.

Full description at Econpapers || Download paper

2021Why did bank stocks crash during COVID-19?. (2021). Engle, Robert ; Acharya, Viral ; Steffen, Sascha. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15901.

Full description at Econpapers || Download paper

2021Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test. (2021). Harun, Cicilia ; Taruna, Aditya Anta. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:265-288.

Full description at Econpapers || Download paper

2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic. (2022). Liu, Fang ; Chen, Yajiao ; Zhou, Long ; Zhang, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000432.

Full description at Econpapers || Download paper

2021Addressing systemic risk using contingent convertible debt – A network analysis. (2021). Lu, Yueliang ; Wang, Runzu ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:263-277.

Full description at Econpapers || Download paper

2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

Full description at Econpapers || Download paper

2022High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system. (2022). Hussain, Nazim ; Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005946.

Full description at Econpapers || Download paper

2022Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19. (2022). Demir, Ender ; Charif, Husni ; Assaf, Ata. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005183.

Full description at Econpapers || Download paper

2023Systemic risks in the cryptocurrency market: Evidence from the FTX collapse. (2023). Matkovskyy, Roman ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000442.

Full description at Econpapers || Download paper

2023Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265.

Full description at Econpapers || Download paper

2022Early warning systems using dynamic factor models: An application to Asian economies. (2022). Villafuerte, James ; Truck, Stefan ; Sheen, Jeffrey ; Truong, Chi. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921000450.

Full description at Econpapers || Download paper

2022Banking networks, systemic risk, and the credit cycle in emerging markets. (2022). Das, Sanjiv R ; Kalimipalli, Madhu ; Nayak, Subhankar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s104244312200107x.

Full description at Econpapers || Download paper

2023Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?. (2023). Tarazi, Amine ; de Jonghe, Olivier ; Bakkar, Yassine. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426619300494.

Full description at Econpapers || Download paper

2022Global banks and systemic risk: The dark side of country financial connectedness. (2022). Sanz, Leandro ; Mihov, Atanas ; McLemore, Ping. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001371.

Full description at Econpapers || Download paper

2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

Full description at Econpapers || Download paper

2022Are European natural gas markets connected? A time-varying spillovers analysis. (2022). Rubaszek, Michał ; Śmiech, Sławomir ; Szafranek, Karol ; Papie, Monika. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s030142072200472x.

Full description at Econpapers || Download paper

2021Shallow or deep? Training an autoencoder to detect anomalous flows in a retail payment system. (2021). Heijmans, Ronald ; Sabetti, Leonard. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:2:y:2021:i:2:s2666143821000119.

Full description at Econpapers || Download paper

2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

Full description at Econpapers || Download paper

2021Economic Preferences and Personality Traits Among Finance Professionals and the General Population. (2021). Wengström, Erik ; Holzmeister, Felix ; Kirchler, Michael ; Holmen, Martin ; Stefan, Matthias ; Wengstrom, Erik. In: Working Papers. RePEc:inn:wpaper:2021-03.

Full description at Econpapers || Download paper

2022Macroeconomic effects of systemic stress: a rolling spillover index approach. (2022). Škrinjarić, Tihana ; Skrinjaric, Tihana. In: Public Sector Economics. RePEc:ipf:psejou:v:46:y:2022:i:1:p:109-140.

Full description at Econpapers || Download paper

2023Leading indicators of financial stress in Croatia: a regime switching approach. (2023). Skrinjaric, Tihana. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:2:p:0-0.

Full description at Econpapers || Download paper

2021Effectives of Monetary Policy under the High and Low Economic Uncertainty States: Evidence from the Major Asian Economies. (2021). Balcilar, Mehmet ; Ozdemir, Zeynel Abidin ; Wohar, Mark E ; Aygun, Gurcan. In: IZA Discussion Papers. RePEc:iza:izadps:dp14420.

Full description at Econpapers || Download paper

2021Why Did Bank Stocks Crash During COVID-19?. (2021). Steffen, Sascha ; Engle, Robert ; Acharya, Viral. In: NBER Working Papers. RePEc:nbr:nberwo:28559.

Full description at Econpapers || Download paper

2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

Full description at Econpapers || Download paper

2021Financial Stress and Effect on Real Economy: The Turkish Experience. (2021). Sanyal, Anirban ; Yildirim, Yusuf. In: MPRA Paper. RePEc:pra:mprapa:109845.

Full description at Econpapers || Download paper

2022Effectiveness of monetary policy under the high and low economic uncertainty states: evidence from the major Asian economies. (2022). Wohar, Mark E ; Aygun, Gurcan ; Ozdemir, Huseyin ; Balcilar, Mehmet. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:4:d:10.1007_s00181-021-02198-x.

Full description at Econpapers || Download paper

2022Effects of incentive pay on systemic risk: evidence from CEO compensation and CoVar. (2022). Zelenyuk, Natalya ; Faff, Robert. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:6:d:10.1007_s00181-022-02236-2.

Full description at Econpapers || Download paper

2022Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach. (2022). Racicot, François-Éric ; Theoret, Raymond. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00316-3.

Full description at Econpapers || Download paper

2021Elicitability and identifiability of set-valued measures of systemic risk. (2021). Rudloff, Birgit ; Hlavinova, Jana ; Fissler, Tobias. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00446-z.

Full description at Econpapers || Download paper

2022Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?. (2022). Tarazi, Amine ; de Jonghe, Olivier ; Bakkar, Yassine. In: Other publications TiSEM. RePEc:tiu:tiutis:b83f43a7-0f39-4d07-babc-992d2465af4b.

Full description at Econpapers || Download paper

2021The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

Full description at Econpapers || Download paper

2022Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682.

Full description at Econpapers || Download paper

2021Forecasting financial vulnerability in the USA: A factor model approach. (2021). Kim, Hyeongwoo ; Shi, Wen. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:439-457.

Full description at Econpapers || Download paper

2021Systemic risk and macroeconomic forecasting: A globally applicable copula?based approach. (2021). Ashraf, Dawood ; Rizwan, Muhammad Suhail ; Ahmad, Ghufran. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1420-1443.

Full description at Econpapers || Download paper

Works by Fuchun Li:

YearTitleTypeCited
2010Financial Stress, Monetary Policy, and Economic Activity In: Bank of Canada Review.
[Full Text][Citation analysis]		article30
2010Financial Stress, Monetary Policy, and Economic Activity.(2010) In: Staff Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		paper
2001Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods In: Staff Working Papers.
[Full Text][Citation analysis]		paper3
2001A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data In: Staff Working Papers.
[Full Text][Citation analysis]		paper7
2005Testing the Parametric Specification of the Diffusion Function in a Diffusion Process In: Staff Working Papers.
[Full Text][Citation analysis]		paper15
2007TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS.(2007) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2006Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2009Testing for Financial Contagion with Applications to the Canadian Banking System In: Staff Working Papers.
[Full Text][Citation analysis]		paper4
2009A Consistent Test for Multivariate Conditional Distributions In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2011A Consistent Test for Multivariate Conditional Distributions.(2011) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2010Identifying Asymmetric Comovements of International Stock Market Returns In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2011Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2013A Semiparametric Early Warning Model of Financial Stress Events In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2014Predicting Financial Stress Events: A Signal Extraction Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper36
2014Predicting financial stress events: A signal extraction approach.(2014) In: Journal of Financial Stability.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		article
2015Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2016Measuring Systemic Risk Across Financial Market Infrastructures In: Staff Working Papers.
[Full Text][Citation analysis]		paper53
2016Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2021Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
1999Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model In: Staff Working Papers.
[Full Text][Citation analysis]		paper4
2005Linking real activity and financial markets: the first steps towards a small estimated model for Canada In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter0
2004Combining Forecasts with Nonparametric Kernel Regressions In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article8
2006A consistent bootstrap test for conditional density functions with time-series data In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2014Testing for financial contagion based on a nonparametric measure of the cross-market correlation In: Review of Financial Economics.
[Full Text][Citation analysis]		article9
2006A Semiparametric Two-Factor Term Structure Model In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 3 2023. Contact: CitEc Team