Yin-Feng Gau : Citation Profile

Are you Yin-Feng Gau?

National Central University

7

H index

5

i10 index

258

Citations

RESEARCH PRODUCTION:

18

Articles

1

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 19
   Journals where Yin-Feng Gau has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 9 (3.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga214
   Updated: 2024-12-03    RAS profile: 2023-03-16    
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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 Yin-Feng Gau.

Is cited by:

HU, YANG (8)

Oxley, Les (6)

Corbet, Shaen (5)

Siklos, Pierre (4)

Plíhal, Tomáš (4)

Hou, Yang (4)

Savva, Christos (3)

Schreiber, Ben (3)

Osborn, Denise (3)

Li, Youwei (3)

Belgacem, Aymen (3)

Cites to:

Bollerslev, Tim (32)

Andersen, Torben (20)

Ito, Takatoshi (19)

Lyons, Richard (13)

Menkhoff, Lukas (13)

Diebold, Francis (13)

Evans, Martin (12)

Vega, Clara (11)

Melvin, Michael (11)

West, Kenneth (10)

Harvey, Campbell (10)

Main data

Where Yin-Feng Gau has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Pacific-Basin Finance Journal2
Review of Quantitative Finance and Accounting2

Recent works citing Yin-Feng Gau (2024 and 2023)

YearTitle of citing document
2023The foreign exchange market. (2023). Sushko, Vladyslav ; Rime, Dagfinn ; Chaboud, Alain. In: BIS Working Papers. RePEc:bis:biswps:1094.

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2023.

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2023Impacts of trading restrictions on price volatilities and speculative activities: Evidence from CSI 300 futures. (2023). Zhang, QI ; Chang, Chiu-Lan ; Fang, Ming. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:184-204.

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2023Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775.

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2023The effect of overnight corporate announcements on price discovery. (2023). Chu, Gang ; Han, Liyan ; Liu, Chunyuan. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000399.

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2023Macro news effects on exchange rates: Difference between carry trade target and safe-haven currencies. (2023). Hu, Bing ; Lin, Zhitao ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000533.

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2024Price discovery of the Chinese crude oil options and futures markets. (2024). Yang, Zhini ; Han, Lin ; Zou, MI. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011819.

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2024The impact of position limits on options trading. (2024). Tu, Qiao ; Switzer, Lorne N. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013417.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2023Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000259.

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2023The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index. (2023). Apergis, Nicholas ; Malik, Shafaq ; Mustafa, Ghulam. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:27-35.

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2024Commonality in liquidity and corporate default risk - Evidence from China. (2024). Zan, Bingyan ; Li, Jintian ; He, Feng ; Fu, Yumei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734.

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2023Research on Price Discovery in Financial Securities: Trends and Directions for Future Research. (2023). Chotia, Varun ; Sharma, Dinesh Kumar ; Arora, Geetika ; Agrawal, Gaurav. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:9:p:416-:d:1243355.

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2023Do spot market auction data help price discovery?. (2023). Scott, Ayesha ; Schoen, Tilman ; Miffre, Joelle ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-04121327.

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2023Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange. (2023). Hung, Pi-Hsia ; Lien, Donald. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01150-7.

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2023Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7.

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2023Order book price impact in the Chinese soybean futures market. (2023). Li, Youwei ; Yang, Yung Chiang ; Kearney, Fearghal ; Jin, Muzhao. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:606-625.

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2023Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange?traded fund?. (2021). Diesting, Florent ; Sobti, Neharika ; Sehgal, Sanjay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1092-1123.

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2023Option features and price discovery in convertible bonds. (2023). Lian, Feng ; Xu, Hailun ; Peiran, LI ; Yuan, Xianghui ; Jin, Liwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:384-403.

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2024.

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Works by Yin-Feng Gau:

YearTitleTypeCited
2004Forecasting Value-at-Risk Using the Markov-Switching ARCH Model In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper0
2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article6
2010International asset allocation for incompletely-informed investors In: Journal of Financial Markets.
[Full Text][Citation analysis]		article2
2014Order choices under information asymmetry in foreign exchange markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article0
2010News announcements and price discovery in foreign exchange spot and futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article120
2013The effectiveness of position limits: Evidence from the foreign exchange futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
2014Asymmetric responses of ask and bid quotes to information in the foreign exchange market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2017Macroeconomic announcements and price discovery in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article30
2015Foreign exchange market intervention and price discovery In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article2
2005Intraday volatility in the Taipei FX market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article5
2006Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article6
2007Intraday exchange rate volatility: ARCH, news and seasonality effects In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article5
2016Trading activities and price discovery in foreign currency futures markets In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article14
2017Home bias in portfolio choices: social learning among partially informed agents In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article3
2013Issuer Credit Ratings and Warrant-Pricing Errors In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article0
2004Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates In: Applied Economics Letters.
[Full Text][Citation analysis]		article9
2012The predictability of excess returns in the emerging bond markets In: Applied Financial Economics.
[Full Text][Citation analysis]		article0
2007Expected risk and excess returns predictability in emerging bond markets In: Applied Economics.
[Full Text][Citation analysis]		article7
2009Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange In: Journal of Futures Markets.
[Full Text][Citation analysis]		article31

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