Bo Young Chang : Citation Profile

Bank of Canada

5

H index

4

i10 index

317

Citations

RESEARCH PRODUCTION:

3

Articles

9

Papers

RESEARCH ACTIVITY:

   16 years (2009 - 2025). See details.
   Cites by year: 19
   Journals where Bo Young Chang has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 3 (0.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1425
   Updated: 2025-12-27    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Raykov, Radoslav (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bo Young Chang.

Is cited by:

Feunou, Bruno (7)

Skiadopoulos, George (7)

Sévi, Benoît (6)

Guidolin, Massimo (6)

Greenwood-Nimmo, Matthew (5)

Bernales, Alejandro (5)

Prokopczuk, Marcel (5)

Fengler, Matthias (4)

Zhen, Fang (4)

Crisóstomo, Ricardo (4)

Härdle, Wolfgang (4)

Cites to:

Christensen, Bent Jesper (8)

Andersen, Torben (8)

Fama, Eugene (7)

Bollerslev, Tim (7)

Chernov, Mikhail (6)

Nielsen, Morten (5)

Campa, Jose (5)

Harvey, Campbell (5)

Busch, Thomas (5)

Doran, James (4)

merton, robert (4)

Main data

Where Bo Young Chang has published?

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada3
Staff Analytical Notes / Bank of Canada3

Recent works citing Bo Young Chang (2025 and 2024)

YearTitle of citing document
2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024Investigating Overreaction and Underreaction in Initial Public Offerings. (2024). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-04-19.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Wu, Zhengyu ; Li, Xiaowei ; Zhang, LU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

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2024Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999.

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2025Tail risk premium in the crude oil market. (2025). Li, Shenru. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001057.

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2024Dynamic impacts of multidimensional uncertainty on the renminbi exchange rate: Insights from time-varying analysis. (2024). Wang, Wei ; Lu, Man ; Li, Hongmei ; Chen, Fengwen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001856.

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2024Abnormal temperature and the cross-section of stock returns in China. (2024). Zhang, Yaojie ; Wang, Yudong ; He, Mengxi ; Song, Bingheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002060.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Monetary policy uncertainty and green investment decisions: A cross-national spillover perspective. (2024). Jiang, Yong ; Klein, Tony ; Ren, Yi-Shuai. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s105752192400574x.

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2024More than meets the eye: On the relationship between skewness and expected returns. (2024). Stein, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012485.

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2024Disentangling the supply and announcement effects of open market operations. (2024). Bulusu, Narayan. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000691.

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2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

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2025Risk and return spillovers among developed and emerging market currencies. (2025). Steenkamp, Daan ; Greenwood-Nimmo, Matthew ; van Jaarsveld, Rossouw. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001525.

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2025Option profit and loss attribution and pricing in the Chinese options market. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Jia, Xiaolan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000198.

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2024Fear, extreme fear and U.S. stock market returns. (2024). Gradojevic, Nikola ; Bouri, Elie ; Nekhili, Ramzi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:656:y:2024:i:c:s0378437124007210.

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2025Rare disasters and multilayer spillovers between volatility and skewness in international stock markets over a century of data: The role of geopolitical risk. (2025). Plakandaras, Vasilios ; GUPTA, RANGAN ; Bouri, Elie ; Foglia, Matteo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:101:y:2025:i:c:s1059056025003466.

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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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2025Risk premia-return spillovers among commodity-U.S. equity markets. (2025). Finta, Marinela Adriana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025003326.

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2024Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Jiang, Zhengyun ; Zhou, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399.

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2025Market volatility and skewness risks in China. (2025). Zhen, Fang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001315.

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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2024Les analystes financiers et la vulnérabilité du secteur bancaire : état des lieux et perspectives de recherche. (2024). Popescu, Alexandra ; Vaubourg, Anne-Gal. In: Post-Print. RePEc:hal:journl:hal-05007044.

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2024An alternative representation of the C-CAPM with higher-order risks. (2024). Li, Jingyuan ; Dionne, Georges ; Okou, Cedric. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:49:y:2024:i:2:d:10.1057_s10713-023-00085-2.

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2025Crypto market betas: the limits of predictability and hedging. (2025). Weber, Thomas ; Sila, Jan ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Mark, Michael. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00777-w.

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2024Option-implied bond spread risk. (2024). Onofri, Marco ; Moshammer, Edmund ; Hudecz, Gergely. In: Working Papers. RePEc:stm:wpaper:66.

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2024International evidence of the forecasting ability of option‐implied distributions. (2024). Vich, Magdalena M ; Vaellosebastia, Antoni ; Serrano, Pedro. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1447-1464.

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2024Leveraging prices from credit and equity option markets for portfolio risk management. (2024). Theriault, Mathieu ; Boudreault, Mathieu ; Begin, Jeanfranois. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:122-147.

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2025Lottery Preference and Skewness Risk Premium: Evidence From the Chinese Market. (2025). Zhou, Xianjing ; Roh, Taiyong ; Xu, Yahua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1818-1851.

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Works by Bo Young Chang:

YearTitleTypeCited
2011Forecasting with Option Implied Information In: CREATES Research Papers.
[Full Text][Citation analysis]		paper48
2014Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility In: Bank of Canada Review.
[Full Text][Citation analysis]		article9
2023Estimating the Slope of the Demand Function at Auctions for Government of Canada Bonds In: Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility In: Staff Working Papers.
[Full Text][Citation analysis]		paper18
2016Equity Option-Implied Probability of Default and Equity Recovery Rate In: Staff Working Papers.
[Full Text][Citation analysis]		paper2
2020A Simple Method for Extracting the Probability of Default from American Put Option Prices In: Staff Working Papers.
[Full Text][Citation analysis]		paper1
2018The Cost of the Government Bond Buyback and Switch Programs in Canada In: Staff Analytical Notes.
[Full Text][Citation analysis]		paper0
2025Stress testing central counterparties for resolution planning In: Staff Analytical Notes.
[Full Text][Citation analysis]		paper0
2025Soumettre les contreparties centrales à des simulations de crise pour établir leurs plans de résolution In: Staff Analytical Notes.
[Full Text][Citation analysis]		paper0
2009Option-Implied Measures of Equity Risk In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper40
2011Option-Implied Measures of Equity Risk.(2011) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2013Market skewness risk and the cross section of stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article199

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