Philip L.H. Yu : Citation Profile

Are you Philip L.H. Yu?

6

H index

4

i10 index

148

Citations

RESEARCH PRODUCTION:

18

Articles

1

Papers

RESEARCH ACTIVITY:

   16 years (1996 - 2012). See details.
   Cites by year: 9
   Journals where Philip L.H. Yu has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 2 (1.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pyu43
   Updated: 2023-08-19    RAS profile: 2012-10-25    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Philip L.H. Yu.

Is cited by:

Chen, Cathy W. S. (6)

Angelidis, Timotheos (5)

Degiannakis, Stavros (5)

Cai, Yuzhi (4)

Selmi, Refk (4)

Haas, Markus (3)

Aloui, Chaker (2)

Paap, Richard (2)

GAO, Jiti (2)

Novales, Alfonso (2)

Walther, Thomas (2)

Cites to:

Bollerslev, Tim (11)

Engle, Robert (9)

Chen, Cathy W. S. (7)

Harvey, Campbell (4)

Ruud, Paul (4)

Chou, Ray (3)

French, Kenneth (3)

McFadden, Daniel (2)

Wang, Zhenyu (2)

Kirby, Chris (2)

Fama, Eugene (2)

Main data

Where Philip L.H. Yu has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis5

Recent works citing Philip L.H. Yu (2022 and 2021)

YearTitle of citing document
2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030.

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2023What drives most jumps in global crude oil prices? Fundamental shortage conditions, cartel, geopolitics or the behaviour of financial market participants. (2023). Selmi, Refk ; Wohar, Mark E ; Hammoudeh, Shawkat. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:3:p:598-618.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2023Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock. (2022). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s014098832200278x.

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2022A new preference classification approach: The ?-dissensus cluster algorithm. (2022). de Andres, R ; Gonzalez-Arteaga, T ; Cascon, J M. In: Omega. RePEc:eee:jomega:v:111:y:2022:i:c:s0305048322000706.

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2023Beyond kemeny rank aggregation: A parameterizable-penalty framework for robust ranking aggregation with ties. (2023). Escobedo, Adolfo R ; Akbari, Sina. In: Omega. RePEc:eee:jomega:v:119:y:2023:i:c:s0305048323000579.

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2021The financial impacts of jump processes in the crude oil price: Evidence from G20 countries in the pre- and post-COVID-19. (2021). Selmi, Refk ; Alqahtani, Abdullah ; Hongbing, Ouyang. In: Resources Policy. RePEc:eee:jrpoli:v:72:y:2021:i:c:s030142072100091x.

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2021Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data. (2021). Selmi, Refk ; bouoiyour, jamal ; Wohar, Mark E ; Miftah, Amal. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001574.

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2022A high-frequency approach to VaR measures and forecasts based on the HAR-QREG model with jumps. (2022). Song, Yuping ; Xu, Yang ; Huang, Jiefei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:608:y:2022:i:p1:s0378437122008111.

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2021The transmission of default risk between banks and countries based on CAViaR models. (2021). Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:500-509.

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2023Spot–Futures Price Adjustments in the Nikkei 225: Linear or Smooth Transition? Financial Centre Leadership or Home Bias?. (2023). Sirichand, Kavita ; Green, Christopher J ; Qin, Jieye. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:117-:d:1066252.

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2022What drives most jumps in global crude oil prices? Fundamental shortage conditions, Cartel, geopolitics or the behavior of market financial participants. (2022). Wohar, Mark ; Hammoudeh, Shawkat ; Selmi, Refk. In: Post-Print. RePEc:hal:journl:hal-03793866.

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2021Do futures lead the index under stress? Evidence from the 2015 Chinese market turmoil and its aftermath. (2021). Guo, Shuxin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00887-9.

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2023User expectations and perceptions towards new public transport infrastructure: evaluating a cable car in Bogotá. (2023). Sarmiento, Olga L ; Arellana, Julian ; Cantillo-Garcia, Victor A ; Guzman, Luis A. In: Transportation. RePEc:kap:transp:v:50:y:2023:i:3:d:10.1007_s11116-021-10260-x.

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2023Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India. (2023). Ledwani, Sanket ; Iyer, Vishwanathan ; Chakraborty, Suman. In: MPRA Paper. RePEc:pra:mprapa:117067.

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2021How is price explosivity triggered in the cryptocurrency markets?. (2021). Cai, Yuzhi ; Mascia, Danilo V ; Chevapatrakul, Thanaset. In: Annals of Operations Research. RePEc:spr:annopr:v:307:y:2021:i:1:d:10.1007_s10479-021-04298-4.

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2022Comparing Boosting and Bagging for Decision Trees of Rankings. (2022). Mencia, Eneldo Loza ; Furnkranz, Johannes ; Buscemi, Simona ; Plaia, Antonella. In: Journal of Classification. RePEc:spr:jclass:v:39:y:2022:i:1:d:10.1007_s00357-021-09397-2.

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2022A Kemeny Distance-Based Robust Fuzzy Clustering for Preference Data. (2022). Vitale, Vincenzina ; Durso, Pierpaolo. In: Journal of Classification. RePEc:spr:jclass:v:39:y:2022:i:3:d:10.1007_s00357-022-09420-0.

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2021Bayesian analysis of ranking data with the Extended Plackett–Luce model. (2021). Tardella, Luca ; Mollica, Cristina. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00519-5.

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2021Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution. (2021). Bernardi, Mauro ; Petrella, Lea ; Bottone, Marco. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:3:d:10.1007_s10260-020-00550-6.

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2021Regime switches and permanent changes in impacts of housing risk factors on MSA?level housing returns. (2021). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:310-342.

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2021Estimating expected shortfall using a quantile function model. (2021). Cai, Yuzhi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4332-4360.

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2022Time?varying roles of housing risk factors in state?level housing markets. (2022). Huang, Meichi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4660-4683.

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2023Bayesian non?linear quantile effects on modelling realized kernels. (2023). Asai, Manabu ; Dong, Manh Cuong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:981-995.

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2021Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212.

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Works by Philip L.H. Yu:

YearTitleTypeCited
2006Statistical Exploration from SARS In: The American Statistician.
[Full Text][Citation analysis]		article1
2005Factor analysis for ranked data with application to a job selection attitude survey In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article3
2009A smoothed bootstrap test for independence based on mutual information In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2010Distance-based tree models for ranking data In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article14
2011A note on the binomial model with simplex constraints In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2011Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article3
2012Mixtures of weighted distance-based models for ranking data with applications in political studies In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2003On the residual autocorrelation of the autoregressive conditional duration model In: Economics Letters.
[Full Text][Citation analysis]		article8
2010A margin scheme that advises on when to change required margin In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2006Empirical analysis of GARCH models in value at risk estimation In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article58
1996Likelihood ratio test for the spacing between two adjacent location parameters In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2007Order Imbalance and the Dynamics of Index and Futures Prices In: Working Papers.
[Full Text][Citation analysis]		paper8
2009On a dynamic mixture GARCH model In: Journal of Forecasting.
[Full Text][Citation analysis]		article3
2012Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity In: Computational Economics.
[Full Text][Citation analysis]		article11
2002Estimation of the Common Mean of a Bivariate Normal Population In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]		article2
2000Bayesian analysis of order-statistics models for ranking data In: Psychometrika.
[Full Text][Citation analysis]		article6
2010On Some Models for Value-At-Risk In: Econometric Reviews.
[Full Text][Citation analysis]		article16
1997How to predict election winners from a poll In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article2
2011Basket trading under co-integration with the logistic mixture autoregressive model In: Quantitative Finance.
[Full Text][Citation analysis]		article4

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