Zaichao Du : Citation Profile

Southwestern University of Finance and Economics (SWUFE)

5

H index

3

i10 index

233

Citations

RESEARCH PRODUCTION:

19

Articles

3

Papers

RESEARCH ACTIVITY:

   15 years (2009 - 2024). See details.
   Cites by year: 15
   Journals where Zaichao Du has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 8 (3.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu319
   Updated: 2026-01-10    RAS profile: 2024-10-09    
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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 Zaichao Du.

Is cited by:

Medeiros, Marcelo (6)

Carvalho, Carlos (6)

Gordy, Michael (4)

Tsang, Andrew (4)

Jia, Pengfei (3)

Lim, King Yoong (3)

Leymarie, Jérémy (3)

Hurlin, Christophe (3)

Wu, Jing (3)

Liu, Xiaochun (2)

Lu, Zhentong (2)

Cites to:

Escanciano, Juan Carlos (24)

Sentana, Enrique (9)

Hong, Yongmiao (9)

hsiao, cheng (9)

Hurlin, Christophe (9)

Engle, Robert (8)

Lochner, Lance (7)

Zhang, Lin (7)

Bai, Jushan (7)

Delgado, Miguel (5)

Head, Allen (5)

Main data

Where Zaichao Du has published?

Working Papers Series with more than one paper published# docs
CAEPR Working Papers / Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington3

Recent works citing Zaichao Du (2025 and 2024)

YearTitle of citing document
2024Multinomial Backtesting of Distortion Risk Measures. (2024). Weber, Stefan ; Bettels, Soren ; Kim, Sojung. In: Papers. RePEc:arx:papers:2201.06319.

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2025Tail-GAN: Learning to Simulate Tail Risk Scenarios. (2023). Xu, Renyuan ; Cont, Rama ; Cucuringu, Mihai ; Zhang, Chao. In: Papers. RePEc:arx:papers:2203.01664.

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2024E-backtesting. (2024). Wang, Ruodu ; Ziegel, Johanna. In: Papers. RePEc:arx:papers:2209.00991.

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2024Synthetic Controls with spillover effects: A comparative study. (2024). Melnychuk, Andrii. In: Papers. RePEc:arx:papers:2405.01645.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2025Standard and comparative e-backtests for general risk measures. (2025). Wang, Qiuqi ; Jiao, Zhanyi ; Zhao, Yimiao. In: Papers. RePEc:arx:papers:2511.05840.

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2024Foreign buyer taxes and housing affordability. (2024). Wetzel, Jake ; Somerville, Tsur ; Pavlov, Andrey. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:3:p:928-950.

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2025The Impact of Governmental Regulations on Housing Market: Findings of a Meta-Study of Empirical Literature. (2025). Kholodilin, Konstantin A. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2113.

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2024Property tax and housing wealth inequality: Evidence from China. (2024). Wan, Guanghua ; Kang, Yankun ; Sun, Weizeng ; Yang, Chen. In: Journal of Asian Economics. RePEc:eee:asieco:v:94:y:2024:i:c:s1049007824000812.

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2025Peer effect of fund trading and the risk of individual stock. (2025). Bowei, SU ; Yuting, Lin ; Shujie, Yao ; Chen, Chuanglian. In: Journal of Asian Economics. RePEc:eee:asieco:v:97:y:2025:i:c:s1049007824001623.

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2025Does the housing purchase restriction policy promote entrepreneurship? Evidence from China. (2025). Si, Deng-Kui ; Wang, Meng ; Yu, Yong. In: China Economic Review. RePEc:eee:chieco:v:90:y:2025:i:c:s1043951x25000173.

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2025The ladder of prosperity: An analysis of housing wealth accumulation across income groups in urban China. (2025). Kohl, Sebastian ; Yang, Yunjia ; Cui, Can ; Long, Jinqiao. In: China Economic Review. RePEc:eee:chieco:v:92:y:2025:i:c:s1043951x25000860.

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2024The effects of macroprudential policies on house prices: Evidence from non-ordinary house purchasing policy using China real transaction data. (2024). Yawen, Zhang ; Linlin, Sun ; Xiaojun, Xue. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:2086-2101.

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2024From restriction to relaxation: The impact of fertility policy on household savings across countries. (2024). Liang, Xiaojun ; Chang, Liang ; Tan, NA. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:2102-2129.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Lyu, Yongjian ; Ke, Rui ; Yang, MO ; Chang, Jianing ; Qin, Fanshu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081.

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2025Heterogeneous housing bubbles and monetary policy. (2025). Duan, Kun ; Zhang, Liya ; Chen, Shuyun ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001668.

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2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Syuhada, Khreshna ; Hakim, Arief. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025Demographic trends, the rent-to-price ratio, and housing market returns. (2025). Wang, Yuansheng ; Yang, Haoxi ; Chen, Zhizhen ; Feng, Yun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000573.

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2024House purchase restriction and stock market participation: Unveiling the role of nonpecuniary consideration. (2024). Wang, Zilong ; Yin, Zhichao ; Sha, Yezhou. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:390-406.

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2025Homeownership and public sector employment: Evidence from the removal of home purchase restrictions in China. (2025). Zhu, Yaqun ; Kong, Jun. In: Journal of Housing Economics. RePEc:eee:jhouse:v:67:y:2025:i:c:s1051137724000603.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Wei, YU ; Lyu, Yongjian ; Ke, Rui ; Kong, Mengzhen ; Qin, Fanshu. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2025Post-compulsory education of children and household asset allocation. (2025). He, Zehui ; Lu, Xiaomeng ; Luo, Ronghua ; Li, Yaling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003457.

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2024Revisiting property tax capitalization. (2024). Lyu, Xueying. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:108:y:2024:i:c:s016604622400070x.

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2025Central bank announcements and monitoring portfolio risks. (2025). Wang, Shu ; Herwartz, Helmut ; Duy, Huynh Tuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005908.

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2024Does purchasing commercial insurance promote household consumption? Evidence from China. (2024). Wang, Yizi ; He, Xiaoying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006336.

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2024Analyzing the Role of the Real Estate Sector in the Sectoral Network of the Chinese Economy. (2024). Nong, Huifu. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:70:y:2024:i:c:p:567-580.

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2024Closing the loophole of vehicle ownership restriction: The impact of non-local vehicle restriction on new vehicle registrations and air pollution. (2024). He, Zhengbing ; Fu, Yifan ; Ling, Shuai ; Zhong, Shiquan. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:185:y:2024:i:c:s0965856424001502.

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2025A House for My Family: The impacts of down payment rate on marriage and fertility. (2025). Yang, Zhe ; Maruyama, Shiko ; Li, Anqi ; Kim, Jun Hyung ; Bai, Yuting. In: Discussion papers. RePEc:eti:dpaper:25056.

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2024Recursive Estimation of the Expectile-Based Shortfall in Functional Ergodic Time Series. (2024). Almulhim, Fatimah A ; Alamari, Mohammed B ; Rachdi, Mustapha ; Laksaci, Ali. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3956-:d:1545194.

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2024Multivariate Spectral Backtests of Forecast Distributions under Unknown Dependencies. (2024). Balter, Janine ; McNeil, Alexander J. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:1:p:13-:d:1320809.

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2025Heterogeneity in Education-Driven Residential Mobility: Evidence from Tianjin Under China’s School District System. (2025). Yin, Yue ; Yu, Sihang ; Sun, Tao. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:18:p:8326-:d:1751225.

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2025Text Analysis of Policies in the Real Estate Market: Comparisons of 21 Chinese Cities. (2025). Hu, Guohui ; Zhu, Juntong ; Song, Dechun ; He, Danyang ; Zhao, Hong ; Wang, Zongshui. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:19:p:8694-:d:1759411.

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2025Unleashing the Potential of Mixed Frequency Data: Measuring Risk with Dynamic Tail Index Regression Model. (2025). Tian, Boping. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10592-7.

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2024Integration 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.

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2025Towards common development through China’s Belt and Road Initiative. (2025). Guo, Jiahong ; Ma, Zihao ; Xu, Duanyang ; Cao, Shixiong. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:22:y:2025:i:1:d:10.1007_s10368-024-00639-3.

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2025Do Higher House Prices Crowd-Out or Crowd-In Manufacturing? A Spatial Econometrics Approach. (2025). Feng, Ping ; Yasar, Mahmut ; Cohen, Jeffrey P. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:70:y:2025:i:3:d:10.1007_s11146-023-09956-x.

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2024Marriage entry, divorce and reconciliation: The unintended consequence of the home purchase restriction policy in China. (2024). Chang, Zheng ; Li, Xin ; Diao, MI. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03734-7.

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2024Modeling the tail risk of crude oil futures using a quantum approach. (2024). Jeong, Minhyuk ; Ahn, Kwangwon. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04221-9.

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2024Urbanization and the excess mortgage risk – an optimal mortgage model. (2024). Kim, Heeho ; Zhang, Hongxia. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04277-7.

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2024Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen. (2024). Nastansky, Andreas ; Barz, Till. In: Statistische Diskussionsbeiträge. RePEc:pot:statdp:57.

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2024Uncertainty Measures and Business Cycles: Evidence From the US. (2024). Bathuure, Isaac ; Vitenu-Sackey, Prince Asare ; Chen, Haining. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241240620.

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2024Impacts of demand and supply-side interventions on South Korea’s housing markets: a dynamic housing-CGE analysis. (2024). Nam, Kyung-Min ; Kim, Ayoung. In: The Annals of Regional Science. RePEc:spr:anresc:v:73:y:2024:i:1:d:10.1007_s00168-024-01274-1.

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2024An evaluation of the adequacy of Lévy and extreme value tail risk estimates. (2024). Hassan, M. Kabir ; Mozumder, Sharif. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00614-6.

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2024A novel robust method for estimating the covariance matrix of financial returns with applications to risk management. (2024). Toscano, Pietro ; Leccadito, Arturo ; Staino, Alessandro. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00642-2.

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2024Robust estimation of average treatment effects from panel data. (2024). Ghosh, Abhik ; Ganguly, Indrila ; Roychowdhury, Sayoni. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:1:d:10.1007_s00362-022-01389-7.

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2024Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments. (2024). Le, Trung H. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:402-414.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2024Predicting tail risks by a Markov switching MGARCH model with varying copula regimes. (2024). Fulle, Markus J ; Herwartz, Helmut. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2163-2186.

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2025Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach. (2025). Garciajorcano, Laura ; Sanchismarco, Lidia. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1907-1945.

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2024Inside job: Evidence from the Chinese housing market. (2024). Chu, Yongqiang ; Zhou, Xiaoxia ; Kuang, Weida ; Zhao, Daxuan. In: Journal of Policy Analysis and Management. RePEc:wly:jpamgt:v:43:y:2024:i:1:p:214-233.

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Works by Zaichao Du:

YearTitleTypeCited
2020Backtesting portfolio value‐at‐risk with estimated portfolio weights In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
2021The impacts of China’s exchange rate regime reform in 2005: A counterfactual analysis In: Review of Development Economics.
[Full Text][Citation analysis]		article0
2015The Macroeconomic Effects of the Canada–US Free Trade Agreement on Canada: A Counterfactual Analysis In: The World Economy.
[Full Text][Citation analysis]		article2
2013The macroeconomic effects of the 35-h workweek regulation in France In: The B.E. Journal of Macroeconomics.
[Full Text][Citation analysis]		article7
2011Intraday probability of informed trading In: Economics Bulletin.
[Full Text][Citation analysis]		article3
2014Decomposing the rich dad effect on income inequality using instrumental variable quantile regression In: China Economic Review.
[Full Text][Citation analysis]		article5
2014Testing for serial independence of panel errors In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article2
2018Assessing the gains and vulnerability of free trade: A counterfactual analysis of Macau In: Economic Modelling.
[Full Text][Citation analysis]		article4
2021A simple and robust counterfactual impact evaluation In: Economics Letters.
[Full Text][Citation analysis]		article0
2015Home-purchase restriction, property tax and housing price in China: A counterfactual analysis In: Journal of Econometrics.
[Full Text][Citation analysis]		article109
2023The case for CASE: Estimating heterogeneous systemic effects In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2022Foreign buyer taxes and house prices in Canada: A tale of two cities In: Journal of Housing Economics.
[Full Text][Citation analysis]		article4
2012The effects of medical insurance on durables consumption in rural China In: China Agricultural Economic Review.
[Full Text][Citation analysis]		article5
2017Backtesting Expected Shortfall: Accounting for Tail Risk In: Management Science.
[Full Text][Citation analysis]		article70
2009Nonparametric Bootstrap Tests for Independence of Generalized Errors In: CAEPR Working Papers.
[Full Text][Citation analysis]		paper3
2016Nonparametric bootstrap tests for independence of generalized errors.(2016) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2015Backtesting Expected Shortfall: Accounting for Tail Risk In: CAEPR Working Papers.
[Full Text][Citation analysis]		paper13
2017Automatic Portmanteau Tests with Applications to Market Risk Management In: CAEPR Working Papers.
[Full Text][Citation analysis]		paper2
2017Automatic portmanteau tests with applications to market risk management.(2017) In: Stata Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2024Competition and price dispersion: evidence from airline and high-speed rail competition in China In: Industrial and Corporate Change.
[Full Text][Citation analysis]		article0
2015A Nonparametric Distribution-Free Test for Serial Independence of Errors In: Econometric Reviews.
[Full Text][Citation analysis]		article1
2024Powerful Backtests for Historical Simulation Expected Shortfall Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1

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