5
H index
3
i10 index
189
Citations
Southwestern University of Finance and Economics (SWUFE) | 5 H index 3 i10 index 189 Citations RESEARCH PRODUCTION: 18 Articles 3 Papers RESEARCH ACTIVITY: 15 years (2009 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pdu319 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Zaichao Du. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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CAEPR Working Papers / Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington | 3 |
Year | Title of citing document |
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2024 | Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319. Full description at Econpapers || Download paper |
2023 | Tail-GAN: Nonparametric Scenario Generation for Tail Risk Estimation. (2022). Cont, Rama ; Zhang, Chao ; Xu, Renyuan ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2203.01664. Full description at Econpapers || Download paper |
2024 | E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991. Full description at Econpapers || Download paper |
2024 | Synthetic Controls with spillover effects: A comparative study. (2024). Melnychuk, Andrii. In: Papers. RePEc:arx:papers:2405.01645. Full description at Econpapers || Download paper |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | Financial literacy and household asset allocation: Evidence from micro?data in China. (2021). Wu, YU ; Xiao, Jingna ; Lu, Xiaomeng. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:55:y:2021:i:4:p:1464-1488. Full description at Econpapers || Download paper |
2023 | Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190. Full description at Econpapers || Download paper |
2023 | Property taxes and rental housing: Evidence from China. (2023). Zhou, BO ; Xiao, Chengrui. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:931-958. Full description at Econpapers || Download paper |
2023 | Long-run mechanism for house price regulation in China: Real estate tax, monetary policy or macro-prudential policy?. (2023). Alvarado, Rafael ; Pinzon, Stefania ; Wang, Chunbao ; Cuesta, Lizeth ; Cheng, Fang Nan ; Deng, Qiu Shi. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:174-186. Full description at Econpapers || Download paper |
2023 | Modeling country-sectoral spillovers in generalized propensity score matching: An empirical test on trade data. (2023). Vurchio, Davide ; Nenci, Silvia. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001050. Full description at Econpapers || Download paper |
2023 | PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370. Full description at Econpapers || Download paper |
2023 | Forward-selected panel data approach for program evaluation. (2023). Huang, Jingyi ; Shi, Zhentao. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:512-535. Full description at Econpapers || Download paper |
2023 | Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422. Full description at Econpapers || Download paper |
2023 | The effect of fraud experience on investment behavior. (2023). Wan, Fang ; Lu, Xiaomeng ; Liao, Chi ; Jacoby, Gady. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000122. Full description at Econpapers || Download paper |
2024 | Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703. Full description at Econpapers || Download paper |
2023 | Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331. Full description at Econpapers || Download paper |
2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper |
2023 | Can a house resale restriction policy curb speculation? Evidence from a quasi-natural experiment in China. (2023). Zhao, Sheng ; Moreira, Fernando ; Lan, Hao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:841-859. Full description at Econpapers || Download paper |
2023 | State-Space Modeling of Housing Sentiment for Regressing Changes of Real Estate Prices Following Short-Term Control Policy in China. (2023). Gu, Hongmei ; Zang, Taiyi. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:16:p:12660-:d:1221931. Full description at Econpapers || Download paper |
2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2024 | Integration and risk transmission across supply, demand, and prices in China’s housing market. (2024). Nong, Huifu. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:57:y:2024:i:3:d:10.1007_s10644-024-09713-x. Full description at Econpapers || Download paper |
2023 | Can volume be more informative than prices? Evidence from Chinese housing markets. (2023). Yu, Ziliang ; Tong, Meng ; Yang, Jian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:2:d:10.1007_s11156-023-01161-4. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2023 | Assessing the impacts of pandemic and the increase in minimum down payment rate on Shanghai housing prices. (2023). Hsiao, Cheng ; Li, Zheng. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02414-w. Full description at Econpapers || Download paper |
2023 | The effect of Confucian culture on household risky asset holdings: Using categorical principal component analysis. (2023). Ho, Kung Cheng ; Dadilabang, Geilegeilao ; Kong, Xiaoran ; Ge, Yongbo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:839-857. Full description at Econpapers || Download paper |
2023 | Forecasting value at risk and expected shortfall using high?frequency data of domestic and international stock markets. (2022). Wang, Man ; Cheng, Yihan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1595-1607. Full description at Econpapers || Download paper |
2024 | Inside job: Evidence from the Chinese housing market. (2024). Kuang, Weida ; Chu, Yongqiang ; Zhou, Xiaoxia ; Zhao, Daxuan. In: Journal of Policy Analysis and Management. RePEc:wly:jpamgt:v:43:y:2024:i:1:p:214-233. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2021 | The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis In: Review of Development Economics. [Full Text][Citation analysis] | article | 0 |
2015 | The Macroeconomic Effects of the Canada–US Free Trade Agreement on Canada: A Counterfactual Analysis In: The World Economy. [Full Text][Citation analysis] | article | 2 |
2013 | The macroeconomic effects of the 35-h workweek regulation in France In: The B.E. Journal of Macroeconomics. [Full Text][Citation analysis] | article | 7 |
2011 | Intraday probability of informed trading In: Economics Bulletin. [Full Text][Citation analysis] | article | 3 |
2014 | Decomposing the rich dad effect on income inequality using instrumental variable quantile regression In: China Economic Review. [Full Text][Citation analysis] | article | 5 |
2014 | Testing for serial independence of panel errors In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
2018 | Assessing the gains and vulnerability of free trade: A counterfactual analysis of Macau In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
2021 | A simple and robust counterfactual impact evaluation In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
2015 | Home-purchase restriction, property tax and housing price in China: A counterfactual analysis In: Journal of Econometrics. [Full Text][Citation analysis] | article | 83 |
2023 | The case for CASE: Estimating heterogeneous systemic effects In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
2022 | Foreign buyer taxes and house prices in Canada: A tale of two cities In: Journal of Housing Economics. [Full Text][Citation analysis] | article | 0 |
2012 | The effects of medical insurance on durables consumption in rural China In: China Agricultural Economic Review. [Full Text][Citation analysis] | article | 4 |
2017 | Backtesting Expected Shortfall: Accounting for Tail Risk In: Management Science. [Full Text][Citation analysis] | article | 62 |
2009 | Nonparametric Bootstrap Tests for Independence of Generalized Errors In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Nonparametric bootstrap tests for independence of generalized errors.(2016) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2015 | Backtesting Expected Shortfall: Accounting for Tail Risk In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 12 |
2017 | Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2024 | Competition and price dispersion: evidence from airline and high-speed rail competition in China In: Industrial and Corporate Change. [Full Text][Citation analysis] | article | 0 |
2015 | A Nonparametric Distribution-Free Test for Serial Independence of Errors In: Econometric Reviews. [Full Text][Citation analysis] | article | 1 |
2024 | Powerful Backtests for Historical Simulation Expected Shortfall Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
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