Xiaochun Liu : Citation Profile

University of Alabama-Tuscaloosa

6

H index

4

i10 index

112

Citations

RESEARCH PRODUCTION:

23

Articles

7

Papers

RESEARCH ACTIVITY:

   17 years (2008 - 2025). See details.
   Cites by year: 6
   Journals where Xiaochun Liu has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 15 (11.81 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli1583
   Updated: 2026-01-17    RAS profile: 2025-11-20    
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Relations with other researchers

Works with:

Liu, Xiaochun (6)

Liu, Xiaochun (5)

Liu, Xiaochun (5)

Stewart, Shamar (2)

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

Is cited by:

Nguyen, Hoang (10)

Kiss, Tamas (7)

Österholm, Pär (7)

GUPTA, RANGAN (5)

Mazur, Stepan (5)

Anatolyev, Stanislav (4)

Karlsson, Sune (3)

Fiszeder, Piotr (3)

Batten, Jonathan (3)

Naraidoo, Ruthira (3)

Yang, Minxian (2)

Cites to:

Liu, Xiaochun (29)

Liu, Xiaochun (28)

Liu, Xiaochun (28)

Kilian, Lutz (19)

Engle, Robert (17)

Rossi, Barbara (17)

Sarno, Lucio (16)

Bollerslev, Tim (16)

West, Kenneth (15)

Campbell, John (14)

Diebold, Francis (12)

Main data

Where Xiaochun Liu has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control3
Journal of Financial Econometrics2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany4

Recent works citing Xiaochun Liu (2025 and 2024)

YearTitle of citing document
2024Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model. (2024). Stewart, Shamar ; Massa, Olga Isengildina. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343936.

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2024Food & Oil Price Volatility Dynamics: Insights from a TVP-SVAR-DCC-MIDAS Model. (2024). Massa, Olga Isengildina ; Stewart, Shamar L. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343936.

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2024The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Papers. RePEc:arx:papers:2404.01641.

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2025Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

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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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2024Can inflation predict energy price volatility?. (2024). Batten, Jonathan ; Mo, DI ; Pourkhanali, Armin. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323006564.

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2024Household welfare loss from energy price crisis: Evidence from China. (2024). Ren, Zhiyuan ; Zhu, Yuhan ; Zheng, Yan. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005449.

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2025Uncovering the risk-return trade-off through ridge regressions. (2025). Arag, Vicent ; Alemany, Nuria ; Salvador, Enrique. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014491.

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2024Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks. (2024). Wilfling, Bernd ; GUPTA, RANGAN ; Segnon, Mawuli. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:29-43.

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2025Forecasting corporate bond returns amid climate change risk: A dynamic forecast combination approach. (2025). Guo, Yangli ; Luo, Qin ; Ma, Feng ; Zhong, Juandan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000592.

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2025Cautionary tales of fat tails. (2025). Dave, Chetan ; Dressler, Scott J ; Malik, Samreen. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:84:y:2025:i:c:s0164070425000163.

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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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2024Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?. (2024). Luo, Tao ; Zhang, Lixia ; Bai, Jiancheng ; Sun, Huaping. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:597-611.

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2025Tail risk connectedness between DeFi and Islamic assets and their determinants. (2025). Do, Hung Xuan ; Hadhri, Sinda ; Hoque, Mohammad Enamul ; Billah, Mabruk. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007810.

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2024The development planning of the Italian Mezzogiorno: A statistical-mathematical analysis by a Real Business Cycle model. (2024). Vota, Luca ; Ferrentino, Rosa. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:96:y:2024:i:c:s0038012124002210.

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2025Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning. (2025). Basar, Ayse ; M. I. M. Wahab, ; Cevik, Mucahit ; Neghab, Davood Pirayesh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10617-1.

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2025AB-LSTM-GRU: A Novel Ensemble Composite Deep Neural Network Model for Exchange Rate Forecasting. (2025). Gu, Jincheng ; Zhang, Shiqi ; Yu, Yanling ; Liu, Feng. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10754-7.

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2025Boosting Carry with Equilibrium Exchange Rate Estimates. (2025). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek ; Ca, Michele. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-024-09795-0.

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2024The Impact of Individual Loss Aversion on Market Risk-Return Trade-off: A Non-linear Approach. (2024). Hayaki, Shoka. In: Discussion Paper Series. RePEc:kob:dpaper:dp2024-05.

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2024Do consumer price indices in oil-producing economies respond differently to oil market shocks? Evidence from Canada. (2024). Segelhorst, Annika ; Harrison, Andre. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:5:d:10.1007_s00181-024-02606-y.

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2025Heterogeneous impacts of fundamentals on gold market risk using regime switching quantile-based GARCH-MIDAS model. (2025). Wang, Xinyu ; Shi, Song ; Cheng, Qiuying. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:3:d:10.1007_s00181-025-02772-7.

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2025The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis. (2025). Tsuji, Chikashi. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00551-5.

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2024On Regime Separation in Markov-Switching Quantile Regressions. (2024). Sola, Martin ; Montes-Rojas, Gabriel ; Psaradakis, Zacharias. In: Department of Economics Working Papers. RePEc:udt:wpecon:2024_05.

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2024A forecasting model for oil prices using a large set of economic indicators. (2024). Hejase, Ale ; Jamali, Ibrahim ; el Hokayem, Jihad. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1615-1624.

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2025Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy. (2025). de Mendonça, Helder ; Vereda, Luciano ; Matos, Luan Mateus ; de Mendona, Helder Ferreira. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1884-1906.

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Works by Xiaochun Liu:

YearTitleTypeCited
2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary In: Papers.
[Full Text][Citation analysis]		paper3
2023Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary*.(2023) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary.(2020) In: Hohenheim Discussion Papers in Business, Economics and Social Sciences.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2018How is the Taylor Rule Distributed under Endogenous Monetary Regimes? In: International Review of Finance.
[Full Text][Citation analysis]		article3
2016Markov switching quantile autoregression In: Statistica Neerlandica.
[Full Text][Citation analysis]		article5
2013Markov-Switching Quantile Autoregression.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2018Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article3
2020QUANTILE-BASED ASYMMETRIC DYNAMICS OF REAL GDP GROWTH In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article0
2021On fiscal and monetary policy-induced macroeconomic volatility dynamics In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2015Unfolded GARCH models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
2016A new approach to risk-return trade-off dynamics via decomposition In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article8
2017Measuring systemic risk with regime switching in tails In: Economic Modelling.
[Full Text][Citation analysis]		article14
2008Chinas segmented stock market: An application of the conditional international capital asset pricing model In: Emerging Markets Review.
[Full Text][Citation analysis]		article4
2017Foreign exchange predictability and the carry trade: A decomposition approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2023Structural sources of oil market volatility and correlation dynamics In: Energy Economics.
[Full Text][Citation analysis]		article5
2015Modeling time-varying skewness via decomposition for out-of-sample forecast In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2011Modeling the time-varying skewness via decomposition for out-of-sample forecast.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article24
2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
2024Are exchange rates absorbers of global oil shocks? A generalized structural analysis In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2019On tail fatness of macroeconomic dynamics In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article15
2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market? In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article1
2017An integrated macro-financial risk-based approach to the stressed capital requirement In: Review of Financial Economics.
[Full Text][Citation analysis]		article0
2017An integrated macro‐financial risk‐based approach to the stressed capital requirement.(2017) In: Review of Financial Economics.
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This paper has nother version. Agregated cites: 0		article
2015Foreign exchange predictability during the financial crisis: implications for carry trade profitability In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
2018Structural Volatility Impulse Response Function and Asymptotic Inference In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2011The Dynamic International Optimal Hedge Ratio In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2013Systemic Risk of Commercial Banks: A Markov-Switching Quantile Autoregression Approach In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2019Cyclicality of stock market volatility In: Applied Economics Letters.
[Full Text][Citation analysis]		article0
2025Unfolded Skewness and Kurtosis Timings in Out-of-Sample Density Forecasts of Financial Returns In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]		article0

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