Fuchun Li : Citation Profile


Are you Fuchun Li?

Bank of Canada

7

H index

6

i10 index

215

Citations

RESEARCH PRODUCTION:

8

Articles

16

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 9
   Journals where Fuchun Li has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 6 (2.71 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli964
   Updated: 2024-11-04    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 Fuchun Li.

Is cited by:

Kim, Hyeongwoo (19)

Shi, Wen (7)

Kim, Hyun Hak (6)

Panchenko, Valentyn (5)

van Dijk, Dick (5)

De Jonghe, Olivier (4)

Swanson, Norman (4)

Acharya, Viral (4)

Diks, Cees (4)

TARAZI, Amine (4)

Corradi, Valentina (4)

Cites to:

Diebold, Francis (10)

Coenen, Günter (10)

Reinhart, Carmen (9)

de Vries, Casper (9)

Renneboog, Luc (7)

Ait-Sahalia, Yacine (7)

Berndsen, Ron (7)

Nelson, Edward (6)

Kaminsky, Graciela (6)

Smets, Frank (6)

Martin, Vance (6)

Main data


Where Fuchun Li has published?


Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada16

Recent works citing Fuchun Li (2024 and 2023)


YearTitle of citing document
2023Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02.

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2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

Full description at Econpapers || Download paper

2023$\Delta-$CoES. (2022). Leeuwenkamp, Aleksy. In: Papers. RePEc:arx:papers:2206.02582.

Full description at Econpapers || Download paper

2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2023Systemic risks in the cryptocurrency market: Evidence from the FTX collapse. (2023). Matkovskyy, Roman ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000442.

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2023Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265.

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2023Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994.

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2023Does banks’ systemic importance affect their capital structure and balance sheet adjustment processes?. (2023). Tarazi, Amine ; de Jonghe, Olivier ; Bakkar, Yassine. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426619300494.

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2023Bank stability and the price of loan commitments. (2023). Rauf, Asad. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:54:y:2023:i:c:s1042957323000104.

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2023Macro-financial spillovers. (2023). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000256.

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2023Asymmetric effects of monetary policy and financial accelerator: Evidence from India. (2023). Bicchal, Motilal ; Mundra, Sruti. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000087.

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2024Detecting financial contagion using a new nonparametric measure of asymmetric comovements. (2024). Yuan, DI ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:284-296.

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2023Leading indicators of financial stress in Croatia: a regime switching approach. (2023). Skrinjaric, Tihana. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:2:p:0-0.

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2023Measuring 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..

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2024Banking stability determinants: evidence from Portugal. (2024). Abreu, Simo Rodrigues ; Medeiros, Maria Teresa. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:25:y:2024:i:2:d:10.1057_s41261-023-00222-x.

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Works by Fuchun Li:


YearTitleTypeCited
2010Financial Stress, Monetary Policy, and Economic Activity In: Bank of Canada Review.
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article31
2010Financial Stress, Monetary Policy, and Economic Activity.(2010) In: Staff Working Papers.
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This paper has nother version. Agregated cites: 31
paper
2001Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods In: Staff Working Papers.
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paper3
2001A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data In: Staff Working Papers.
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paper7
2005Testing the Parametric Specification of the Diffusion Function in a Diffusion Process In: Staff Working Papers.
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paper15
2007TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS.(2007) In: Econometric Theory.
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This paper has nother version. Agregated cites: 15
article
2006Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model In: Staff Working Papers.
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paper2
2009Testing for Financial Contagion with Applications to the Canadian Banking System In: Staff Working Papers.
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paper4
2009A Consistent Test for Multivariate Conditional Distributions In: Staff Working Papers.
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paper2
2011A Consistent Test for Multivariate Conditional Distributions.(2011) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 2
article
2010Identifying Asymmetric Comovements of International Stock Market Returns In: Staff Working Papers.
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paper0
2011Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach In: Staff Working Papers.
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paper2
2013A Semiparametric Early Warning Model of Financial Stress Events In: Staff Working Papers.
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paper2
2014Predicting Financial Stress Events: A Signal Extraction Approach In: Staff Working Papers.
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paper38
2014Predicting financial stress events: A signal extraction approach.(2014) In: Journal of Financial Stability.
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This paper has nother version. Agregated cites: 38
article
2015Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates In: Staff Working Papers.
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paper0
2016Measuring Systemic Risk Across Financial Market Infrastructures In: Staff Working Papers.
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paper58
2016Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach In: Staff Working Papers.
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paper1
2021Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System In: Staff Working Papers.
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paper0
1999Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model In: Staff Working Papers.
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paper4
2005Linking real activity and financial markets: the first steps towards a small estimated model for Canada In: BIS Papers chapters.
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chapter0
2004Combining Forecasts with Nonparametric Kernel Regressions In: Studies in Nonlinear Dynamics & Econometrics.
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article8
2006A consistent bootstrap test for conditional density functions with time-series data In: Journal of Econometrics.
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article27
2014Testing for financial contagion based on a nonparametric measure of the cross-market correlation In: Review of Financial Economics.
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article10
2006A Semiparametric Two-Factor Term Structure Model In: Journal of Financial Econometrics.
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article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team