Bo Young Chang : Citation Profile

Bank of Canada

5

H index

4

i10 index

327

Citations

RESEARCH PRODUCTION:

3

Articles

9

Papers

RESEARCH ACTIVITY:

   16 years (2009 - 2025). See details.
   Cites by year: 20
   Journals where Bo Young Chang has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 3 (0.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch1425
   Updated: 2026-07-11    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)

Guidolin, Massimo (6)

Sévi, Benoît (6)

Greenwood-Nimmo, Matthew (5)

Bernales, Alejandro (5)

Prokopczuk, Marcel (5)

Crisóstomo, Ricardo (4)

Härdle, Wolfgang (4)

Fengler, Matthias (4)

Zhen, Fang (4)

Cites to:

Andersen, Torben (8)

Christensen, Bent Jesper (8)

Bollerslev, Tim (7)

Fama, Eugene (7)

Chernov, Mikhail (6)

Busch, Thomas (5)

Campa, Jose (5)

Harvey, Campbell (5)

Nielsen, Morten (5)

Poon, Ser-Huang (4)

Chen, Zhiwu (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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2025Market Crash Risk and the Cross‐Section of Stock Returns: Evidence in China. (2025). Zhou, Chunyang ; Zhang, Aoran. In: Accounting and Finance. RePEc:bla:acctfi:v:65:y:2025:i:3:p:2935-2949.

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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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2025Merton (1976) implied jump. (2025). Fan, Zheqi ; Ruan, Xinfeng ; Yu, Junhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001654.

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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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2025The stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs. (2025). Kokholm, Thomas ; Bangsgaard, Christine. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:180:y:2025:i:c:s0378426625001761.

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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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2026Analyzing spillover dynamics between semiconductor and clean energy stocks: A higher-order moment approach. (2026). Hajek, Petr ; Abedin, Mohammad Zoynul ; Zeng, Hongjun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:83:y:2026:i:c:s0275531925005136.

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2025Policy Rate Uncertainty and Money Market Funds (MMF) Portfolio Allocations. (2025). Tase, Manjola ; Abdullah, Samin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-63.

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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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2024A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models. (2024). Loudis, Johnathan A ; Chabi-Yo, Fousseni. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:10:p:6804-6834.

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2025Risk-asymmetry indices in Europe. (2025). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:3:d:10.1007_s10436-025-00467-8.

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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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2026Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, René ; Almeida, Caio ; Ardison, Kim. In: TSE Working Papers. RePEc:tse:wpaper:123176.

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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]		paper50
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]		paper20
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]		article205

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