Jennifer S.K. Chan : Citation Profile

9

H index

6

i10 index

399

Citations

RESEARCH PRODUCTION:

30

Articles

5

Papers

RESEARCH ACTIVITY:

   25 years (1998 - 2023). See details.
   Cites by year: 15
   Journals where Jennifer S.K. Chan has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 17 (4.09 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch754
   Updated: 2026-01-17    RAS profile: 2021-01-31    
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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 Jennifer S.K. Chan.

Is cited by:

NG, KOK HAUR (9)

Fernandez Bariviera, Aurelio (8)

Corbet, Shaen (7)

Bekiros, Stelios (6)

Yarovaya, Larisa (6)

Urquhart, Andrew (6)

lucey, brian (5)

Walther, Thomas (3)

Matkovskyy, Roman (3)

Ruiz, Esther (3)

Yousaf, Imran (3)

Cites to:

Bollerslev, Tim (14)

Shephard, Neil (14)

Choy, S.T. Boris (13)

Chen, Cathy W. S. (11)

McDonald, James (10)

Engle, Robert (8)

Yu, Jun (7)

Chou, Ray (7)

Omori, Yasuhiro (6)

Diebold, Francis (5)

Cummins, John (5)

Main data

Where Jennifer S.K. Chan has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis7
ASTIN Bulletin4
Finance Research Letters2
The North American Journal of Economics and Finance2
Journal of Applied Statistics2
Computational Statistics2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Jennifer S.K. Chan (2025 and 2024)

YearTitle of citing document
2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2025Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic. (2024). Drakos, Konstantinos ; Ballis, Antonis ; Karagiorgis, Ariston. In: Papers. RePEc:arx:papers:2410.12801.

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2025Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals. (2025). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2412.00468.

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2025Dynamic Skewness in Stochastic Volatility Models: A Penalized Prior Approach. (2025). Louzada, Francisco ; Suzuki, Adriano K ; Ehlers, Ricardo S ; Holtz, Bruno E. In: Papers. RePEc:arx:papers:2508.10778.

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2024Unveiling Interconnectedness and Volatility Transmission: A Novel GARCH Analysis of Leading Global Cryptocurrencies. (2024). Kushwah, Silky Vigg ; Hundal, Shab ; Goel, Payal. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-03-16.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2024Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network. (2024). Xiao, Zumian ; Wang, Xuetong ; Ma, Shiqun ; Xiang, Lijin ; Fang, Fang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001584.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2025Demystifying Monte Carlo methods in R: A guide from Metropolis–Hastings to Hamiltonian Monte Carlo with biological growth equation examples. (2025). Bhowmick, Amiya Ranjan ; Mestry, Dipali Vasudev. In: Ecological Modelling. RePEc:eee:ecomod:v:501:y:2025:i:c:s0304380024003107.

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2025Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving. (2025). Siu, Tak Kuen. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:180-208.

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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2024Quantile time-frequency spillovers among green bonds, cryptocurrencies, and conventional financial markets. (2024). Zhao, Mingguo ; Park, Hail. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001303.

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2024The higher the better? Hedging and investment strategies in cryptocurrency markets: Insights from higher moment spillovers. (2024). Hamori, Shigeyuki ; He, Xie. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002916.

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2025PolitiFi: Just another meme, or instrumental for winning elections?. (2025). Schweizer, Denis ; Proelss, Juliane ; Svigny, Stphane. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015629.

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2024A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data. (2024). Li, Zhengxiao ; Zhao, Zhengtang ; Wang, Fei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:45-66.

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2025Hidden semi-Markov models for rainfall-related insurance claims. (2025). Punzo, Antonio ; Shi, Yue ; Maruotti, Antonello ; Otneim, Hkon. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:91-106.

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2024Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306.

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2025Pandemics and intergenerational mobility in education: Evidence from the 2003 Severe Acute Respiratory Syndrome (SARS) epidemic in China. (2025). Chae, Minhee ; Xue, Sen ; Liang, Wenquan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:230:y:2025:i:c:s0167268125000277.

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2024Accounting Students’ perceptions of delivery modalities during and after the COVID-19 pandemic. (2024). Parker, Kevin ; Boyle, Douglas M ; Gaydon, Daniel J ; Fulmore, Anthony. In: Journal of Accounting Education. RePEc:eee:joaced:v:68:y:2024:i:c:s0748575124000290.

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2024Cryptocurrency: A new player or a new crisis in financial markets? —— Evolutionary analysis of association and risk spillover based on network science. (2024). Zhou, Fan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:648:y:2024:i:c:s0378437124004643.

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2024Safety assessment of cryptocurrencies as risky assets during the COVID-19 pandemic. (2024). Belanes, Amel ; Rabbouch, Hana ; Saadaoui, Foued ; Amirat, Amina. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:651:y:2024:i:c:s0378437124005223.

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2024Stylized facts of metaverse non-fungible tokens. (2024). Osterrieder, Joerg ; Lord, Nicholas ; Zhang, Yuanyuan ; Almazloum, Ward ; Chandrashekhar, Durga ; Chu, Jeffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:653:y:2024:i:c:s0378437124006125.

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2025Long-range correlations in cryptocurrency markets: A multi-scale DFA approach. (2025). Al-Jaifi, Hamdan ; Schinckus, Christophe ; Bui, Huy Quoc. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:661:y:2025:i:c:s037843712500069x.

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2025Forecasting the unforecastable: An independent component analysis for majority game-like global cryptocurrencies. (2025). Sssmuth, Bernd ; Kirsten, Oliver. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001244.

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2025Extreme frequency connectedness, determinants and portfolio analysis of major cryptocurrencies: Insights from quantile time-frequency approach. (2025). Kang, Sang Hoon ; Mishra, Sibanjan ; Bhattacherjee, Purba. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000158.

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2025Quantifying systemic risk in cryptocurrency markets: A high-frequency approach. (2025). Laurini, Mrcio P ; Pedro, Joao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025003776.

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2024Revisiting the determinants of cryptocurrency excess return: Does scarcity matter?. (2024). Pham, Huy ; Thanh, Binh Nguyen ; Tiwari, Aviral Kumar ; Bui, Mai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pc:s1059056024007251.

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2024Impacts of bitcoin on monetary system: Is Chinas bitcoin ban necessary?. (2024). Li, Xiao ; Wu, Ruoxi ; Wang, Chen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000291.

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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2025Style investing and return comovement in the cryptocurrency market. (2025). Rabbo, Fatima Abd ; Disli, Mustafa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002053.

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2024Forecasting Bitcoin prices using artificial intelligence: Combination of ML, SARIMA, and Facebook Prophet models. (2024). Shahzad, Umer ; Tiwari, Sunil ; Mahendru, Mandeep ; Cheng, Jiyang ; Khaled, Djebbouri. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:198:y:2024:i:c:s0040162523006236.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2025Multifractality and Its Sources in the Digital Currency Market. (2025). Kwapie, Jarosaw ; Wtorek, Marcin ; Drod, Stanisaw ; Kluszczyski, Robert. In: Future Internet. RePEc:gam:jftint:v:17:y:2025:i:10:p:470-:d:1769773.

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2025Non-Parametric Inference for Multi-Sample of Geometric Processes with Application to Multi-System Repair Process Modeling. (2025). Altinda, Mer. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:14:p:2260-:d:1700523.

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2025Bayesian Analysis of Bitcoin Volatility Using Minute-by-Minute Data and Flexible Stochastic Volatility Models. (2025). Nakatsuma, Teruo ; Nakakita, Makoto ; Toyabe, Tomoki. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:16:p:2691-:d:1729283.

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2024Periodicity in Bitcoin returns: A time-varying volatility approach. (2024). Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:122529.

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2025Asymmetric Laplace scale mixtures for the distribution of cryptocurrency returns. (2025). Punzo, Antonio ; Bagnato, Luca. In: Advances in Data Analysis and Classification. RePEc:spr:advdac:v:19:y:2025:i:2:d:10.1007_s11634-024-00606-5.

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2024Cryptocurrency market microstructure: a systematic literature review. (2024). Gonçalves, Tiago ; Almeida, Jos ; Gonalves, Tiago Cruz. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05627-5.

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2024A multidimensional Bayesian model to test the impact of investor sentiment on equity premium. (2024). Teulon, Frédéric ; Hikkerova, Lubica ; Sahut, Jean Michel ; Mili, Mehdi. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-023-05165-0.

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2025The impact of bitcoin fear and greed on good and bad network connectedness: the case of the US sectoral high frequency returns. (2025). Sheikh, Umaid A ; Galariotis, Emilios C ; Roubaud, David ; Suleman, Muhammad Tahir. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05455-7.

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2025Wisdom of the crowd signals: Predictive power of social media trading signals for cryptocurrencies. (2025). Haase, Frederic ; Celig, Tom ; Rath, Oliver ; Schoder, Detlef. In: Electronic Markets. RePEc:spr:elmark:v:35:y:2025:i:1:d:10.1007_s12525-025-00815-6.

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2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis. (2024). Yarovaya, Larisa ; Shahzad, Syed Jawad Hussain ; Anas, Muhammad. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00595-y.

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2024Time-varying spillovers in high-order moments among cryptocurrencies. (2024). Azimli, Asil. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00612-8.

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2024Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset. (2024). Lahmiri, Salim. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00628-0.

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2024A comparison of cryptocurrency volatility-benchmarking new and mature asset classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00646-y.

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2024Digital currency: an empirical study analyzing its effectiveness in the banking sector. (2024). Boddeda, Omnamasivaya ; Gorli, Chaitanya ; Jada, Kameswari ; Palisetty, Ramesh ; Gondesi, Santhoshi ; Bastray, Tejaswini ; Hiremath, Sony ; Bhavikatti, Veena Ishwarappa. In: International Journal of System Assurance Engineering and Management. RePEc:spr:ijsaem:v:15:y:2024:i:11:d:10.1007_s13198-024-02509-2.

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2024A Darwinian Approach via ML to the Analysis of Cryptocurrencies€™ Returns. (2024). Ferrari, Annalisa ; Cini, Federico. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:14:y:2024:i:6:f:14_6_6.

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2024The rapid growth of cryptocurrencies: How profitable is trading in digital money?. (2024). Manahov, Viktor. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2214-2229.

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2024The Skewness‐Kurtosis plane for cryptocurrencies universe. (2024). Karagiorgis, Ariston ; Drakos, Konstantinos ; Ballis, Antonis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2543-2555.

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2024Are crypto-investors overconfident? The role of risk propensity and demographics. Evidence from Brazil and Portugal. (2024). Iamin, Gustavo. In: Journal of Risk Finance. RePEc:eme:jrfpps:jrf-04-2024-0109.

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Works by Jennifer S.K. Chan:

YearTitleTypeCited
2014Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression In: Papers.
[Full Text][Citation analysis]		paper0
2020Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19 In: Papers.
[Full Text][Citation analysis]		paper36
2021Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19.(2021) In: Physica A: Statistical Mechanics and its Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2023Semi-metric portfolio optimization: a new algorithm reducing simultaneous asset shocks In: Papers.
[Full Text][Citation analysis]		paper7
2021Time-varying neural network for stock return prediction In: Papers.
[Full Text][Citation analysis]		paper1
2006Statistical Exploration from SARS In: The American Statistician.
[Full Text][Citation analysis]		article2
2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2008Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution In: ASTIN Bulletin.
[Full Text][Citation analysis]		article9
2007Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution.(2007) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2015RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES In: ASTIN Bulletin.
[Full Text][Citation analysis]		article7
2018MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION In: ASTIN Bulletin.
[Full Text][Citation analysis]		article3
2020MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS In: ASTIN Bulletin.
[Full Text][Citation analysis]		article5
1998Statistical inference for geometric processes with lognormal distribution In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2004Statistical inference for geometric processes with gamma distributions In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2009Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2011Bayesian analysis of robust Poisson geometric process model using heavy-tailed distributions In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2011Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale mixtures In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article22
2011Classification in segmented regression problems In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2012A Bayesian conditional autoregressive geometric process model for range data In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article4
2017Efficient modelling and forecasting with range based volatility models and its application In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article3
2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article9
2018A new look at Cryptocurrencies In: Economics Letters.
[Full Text][Citation analysis]		article170
2020On generalized bivariate student-t Gegenbauer long memory stochastic volatility models with leverage: Bayesian forecasting of cryptocurrencies with a focus on Bitcoin In: Econometrics and Statistics.
[Full Text][Citation analysis]		article4
2019On long memory effects in the volatility measure of Cryptocurrencies In: Finance Research Letters.
[Full Text][Citation analysis]		article51
2020On the speculative nature of cryptocurrencies: A study on Garman and Klass volatility measure In: Finance Research Letters.
[Full Text][Citation analysis]		article22
2013Bayesian analysis of loss reserving using dynamic models with generalized beta distribution In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article10
2014Multivariate generalized Poisson geometric process model with scale mixtures of normal distributions In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2005Monte Carlo approximation through Gibbs output in generalized linear mixed models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article0
2019Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article7
2010Binary geometric process model for the modeling of longitudinal binary data with trend In: Computational Statistics.
[Full Text][Citation analysis]		article2
2011Bayesian approach to analysing longitudinal bivariate binary data with informative dropout In: Computational Statistics.
[Full Text][Citation analysis]		article0
2014A Poisson geometric process approach for predicting drop-out and committed first-time blood donors In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article1
2016Robust Bayesian analysis of loss reserving data using scale mixtures distributions In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article1
2019Forecasting trade durations via ACD models with mixture distributions In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2007Bayesian analysis of constant elasticity of variance models In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article0

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