Felix Chan : Citation Profile


Are you Felix Chan?

Curtin University

10

H index

12

i10 index

878

Citations

RESEARCH PRODUCTION:

31

Articles

26

Papers

2

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   22 years (2001 - 2023). See details.
   Cites by year: 39
   Journals where Felix Chan has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 20 (2.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch631
   Updated: 2024-11-04    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Matyas, Laszlo (2)

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

Is cited by:

Chang, Chia-Lin (245)

Tansuchat, Roengchai (74)

Caporin, Massimiliano (57)

Jimenez-Martin, Juan (50)

Pérez-Amaral, Teodosio (32)

Allen, David (31)

Asai, Manabu (22)

Hakim, Abdul (19)

Powell, Robert (17)

Hsu, Hui-Kuang (16)

Manera, Matteo (12)

Cites to:

Bollerslev, Tim (33)

Ling, Shiqing (33)

Engle, Robert (26)

Pesaran, Mohammad (14)

Oxley, Les (13)

Perron, Pierre (11)

Bai, Jushan (11)

Teräsvirta, Timo (11)

shin, yongcheol (9)

Chang, Chia-Lin (9)

Franses, Philip Hans (9)

Main data


Where Felix Chan has published?


Journals with more than one article published# docs
Mathematics and Computers in Simulation (MATCOM)8
Applied Economics2
Econometric Reviews2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
CIRJE F-Series / CIRJE, Faculty of Economics, University of Tokyo4
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute3
CEU Working Papers / Department of Economics, Central European University2
KIER Working Papers / Kyoto University, Institute of Economic Research2

Recent works citing Felix Chan (2024 and 2023)


YearTitle of citing document
2023.

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2023Combined Forecasts of Intermittent Demand for Stock-keeping Units (SKUs). (2023). Utma, Gizem Halil ; Ikiz, Aysun Kapucugil. In: World Journal of Applied Economics. RePEc:ana:journl:v:9:y:2023:i:1:p:1-31.

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2024Pre-Publication Revisions of Bank Financial Statements: a novel way to monitor banks?. (2024). van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Working Papers Series. RePEc:bcb:wpaper:590.

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2023Is sentiment the solution to the risk–return puzzle? A (cautionary) note. (2023). Gebka, Bartosz ; Ung, Sze Nie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000011.

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2023Lost in translation. When sentiment metrics for one market are derived from two different languages. (2023). Smales, Lee ; Khuu, Joyce ; Durand, Robert B. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000394.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Rahbek, Anders ; Mikosch, Thomas ; Vilandt, Frederik. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

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2024GARCH-M model with an asymmetric risk premium: Distinguishing between ‘good’ and ‘bad’ volatility periods. (2024). Potanin, Bogdan ; Trifonov, Juri. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300457x.

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2023The hedging effectiveness of electricity futures in the Spanish market. (2023). Pea, Juan Ignacio. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322006833.

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2023Analyzing commodity futures and stock market indices: Hedging strategies using asymmetric dynamic conditional correlation models. (2023). Obeid, Hassan ; Alshammari, Saad. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004531.

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2023Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923.

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2023Neither developed nor emerging: Dual paths for outward FDI and home country innovation in emerged market MNCs. (2023). Yu, Jing ; Liu, Wei ; Su, Eun. In: International Business Review. RePEc:eee:iburev:v:32:y:2023:i:2:s0969593121001438.

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2023Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA. (2023). Lawal, Rodiat ; Johan, Sofia ; Sakariyahu, Rilwan ; Chatzivgeri, Eleni ; Paterson, Audrey. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001348.

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2023Forecast combinations: An over 50-year review. (2023). Li, Feng ; Kang, Yanfei ; Hyndman, Rob J ; Wang, Xiao Qian. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1518-1547.

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2024Pre-publication revisions of bank financial statements: A novel way to monitor banks?. (2024). van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000020.

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2023Extreme quantile spillovers and connectedness between oil and Chinese sector markets: A portfolio hedging analysis. (2023). Vo, Xuan Vinh ; Alomari, Mohammad ; Mensi, Walid ; Kang, Sang Hoon. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s1703494923000397.

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2023How does US tariff policy affect the relationship among crude oil, the US dollar and metal markets?. (2023). Zolfaghari, Mehdi. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723005871.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2023A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models. (2023). Xie, Wenzhao ; Zheng, Chengli ; Yao, Yinhong ; Su, Kuangxi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:35-50.

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2023Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks. (2023). Terasvirta, Timo ; Silvennoinen, Annastiina ; Hall, Anthony D. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:5-:d:1059591.

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2023Control of Operational Modes of an Urban Distribution Grid under Conditions of Uncertainty. (2023). Zicmane, Inga ; Beryozkina, Svetlana ; Senyuk, Mihail ; Matrenin, Pavel ; Safaraliev, Murodbek ; Onka, Zsolt ; Sidorov, Alexander ; Tavarov, Saidjon Shiralievich. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:8:p:3497-:d:1125598.

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2023.

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2023Fixed Effects and Causal Inference. (2023). Bellemare, Marc ; Millimet, Daniel L. In: IZA Discussion Papers. RePEc:iza:izadps:dp16202.

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2024Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). Luo, Jiawen ; Fu, Shengjie ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202420.

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2023How do gold and oil react to the COVID-19 pandemic: A review. (2023). Ho, LY ; Bai, Min. In: Energy & Environment. RePEc:sae:engenv:v:34:y:2023:i:7:p:2876-2902.

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2023From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom. (2023). Gottschalk, Sylvia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:3:p:2843-2873.

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2023Civil aviation and tourism demand in Montenegro: A panel data approach. (2023). Papatheodorou, Andreas ; Bulatovic, Iva. In: EconStor Open Access Articles and Book Chapters. RePEc:zbw:espost:272336.

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Felix Chan has edited the books:


YearTitleTypeCited

Works by Felix Chan:


YearTitleTypeCited
2015Structure and asymptotic theory for nonlinear models with GARCH erros In: Economia.
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article2
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: Working Papers in Economics.
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This paper has nother version. Agregated cites: 2
paper
2011Structure and Asymptotic theory for Nonlinear Models with GARCH Errors.(2011) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 2
paper
2010Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors.(2010) In: KIER Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2012It pays to violate: how effective are the Basel accord penalties in encouraging risk management? In: Accounting and Finance.
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article5
2017The Validity of Investor Sentiment Proxies In: International Review of Finance.
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article7
2023A pulse check on recent developments in time series econometrics In: Journal of Economic Surveys.
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article0
2012Testing for Structural Change in Heterogeneous Panels with an Application to the Euros Trade Effect In: Journal of Time Series Econometrics.
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article12
2013Modeling and Simulation: An Overview In: Working Papers in Economics.
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paper17
2013Modelling and Simulation: An Overview.(2013) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 17
paper
2013Modelling and Simulation: An Overview.(2013) In: KIER Working Papers.
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paper
2013Modelling and Simulation: An Overview.(2013) In: Tinbergen Institute Discussion Papers.
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paper
.() In: .
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paper
2018Even Count Estimation In: CEU Working Papers.
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paper0
2022Event count estimation.(2022) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 0
article
2019Modelling with Discretized Ordered Choice Covariates In: CEU Working Papers.
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paper0
2009It Pays to Violate: How Effective are the Basel Accord Penalties? In: CARF F-Series.
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paper1
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 1
paper
2009It Pays to Violate: How Effective are the Basel Accord Penalties?.(2009) In: CIRJE F-Series.
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This paper has nother version. Agregated cites: 1
paper
2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION In: Econometric Theory.
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article167
2001Estimating Smooth Transition Autoregressive Models with GARCH Errors in the Presence of Extreme Observations and Outliers, In: ISER Discussion Paper.
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paper27
2003Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers.(2003) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 27
article
2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies? In: Journal of Asian Economics.
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article2
2007An econometric analysis of asymmetric volatility: Theory and application to patents In: Journal of Econometrics.
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article223
2008Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks In: Journal of Econometrics.
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article31
2016Liquidation discount—a novel application of ARFIMA–GARCH In: Journal of Empirical Finance.
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article0
2008Efficiency of the foreign currency options market In: Global Finance Journal.
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article3
2018Some theoretical results on forecast combinations In: International Journal of Forecasting.
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article24
2004Modelling the asymmetric volatility of electronics patents in the USA In: Mathematics and Computers in Simulation (MATCOM).
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article1
2003Modelling the Asymmetric Volatility of Electronics Patents in the USA.(2003) In: CIRJE F-Series.
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This paper has nother version. Agregated cites: 1
paper
2005Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations In: Mathematics and Computers in Simulation (MATCOM).
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article1
2008Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk In: Mathematics and Computers in Simulation (MATCOM).
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article10
2009Modelling time-varying higher moments with maximum entropy density In: Mathematics and Computers in Simulation (MATCOM).
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article4
2011Model specification in panel data unit root tests with an unknown break In: Mathematics and Computers in Simulation (MATCOM).
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article5
2011Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation In: Mathematics and Computers in Simulation (MATCOM).
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article17
2011Spectral analysis of seasonality in tourism demand In: Mathematics and Computers in Simulation (MATCOM).
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article10
2013The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence In: Mathematics and Computers in Simulation (MATCOM).
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article0
2008Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares In: Pacific-Basin Finance Journal.
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article4
2006Stability Tests for Heterogeneous Panel Data In: IHEID Working Papers.
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paper3
2006Stability tests for heterogeneous panel data.(2006) In: PSE Working Papers.
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This paper has nother version. Agregated cites: 3
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2006Stability tests for heterogeneous panel data.(2006) In: Working Papers.
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2008Stability Tests for Heterogeneous Panel Data.(2008) In: Working Papers.
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2011An econometric analysis of hotel–motel room nights in New Zealand with stochastic seasonality In: International Journal of Revenue Management.
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article0
2002Maximum likelihood estimation of STAR and STAR-GARCH models: theory and Monte Carlo evidence In: Journal of Applied Econometrics.
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article43
2009Modeling Volatility in Foreign Currency Option Pricing In: Multinational Finance Journal.
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article2
2013Advantages of Non-Normality in Testing Cointegration Rank In: Bankwest Curtin Economics Centre Working Paper series.
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paper0
2017A note on the relation between fiscal equalization and economic growth In: MPRA Paper.
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paper0
2005Structure and asymptotic theory for STAR(1)-GARCH(1,1) models In: Textos para discussão.
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paper0
2022Linear Econometric Models with Machine Learning In: Advanced Studies in Theoretical and Applied Econometrics.
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chapter1
2022Nonlinear Econometric Models with Machine Learning In: Advanced Studies in Theoretical and Applied Econometrics.
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chapter1
2004Modelling the asymmetric volatility of anti-pollution patents in the USA In: Scientometrics.
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article1
2014Gravity Models of Trade: Unobserved Heterogeneity and Endogeneity In: Working Papers.
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paper1
2019Equivalence of optimal forecast combinations under affine constraints In: Working Papers.
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paper0
2004Trends and volatilities in foreign patents registered in the USA In: Applied Economics.
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article3
2015Permanent and transitory shocks in the presence of asymmetric error correction In: Applied Economics.
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article0
2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility In: Econometric Reviews.
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article240
2021A review of Ride-Matching strategies for Ridesourcing and other similar services In: Transport Reviews.
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article0
2003Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings In: CIRJE F-Series.
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paper7
2003On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models In: CIRJE F-Series.
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paper1

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