Ray Yeutien Chou : Citation Profile

Academia Sinica

12

H index

12

i10 index

2385

Citations

RESEARCH PRODUCTION:

20

Articles

2

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1988 - 2020). See details.
   Cites by year: 74
   Journals where Ray Yeutien Chou has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 9 (0.38 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pch263
   Updated: 2025-04-19    RAS profile: 2024-07-17    
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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 Ray Yeutien Chou.

Is cited by:

Bollerslev, Tim (38)

Diebold, Francis (35)

Fiszeder, Piotr (25)

Engle, Robert (23)

Andersen, Torben (21)

Chen, Cathy W. S. (21)

Degiannakis, Stavros (16)

Gallo, Giampiero (16)

Worthington, Andrew (11)

Kumar, Dilip (10)

Chang, Chia-Lin (10)

Cites to:

Engle, Robert (40)

Bollerslev, Tim (32)

Frankel, Jeffrey (19)

Schwert, G. (16)

Campbell, John (15)

pagan, adrian (14)

Shiller, Robert (12)

French, Kenneth (12)

Diebold, Francis (12)

Mankiw, N. Gregory (11)

Teräsvirta, Timo (10)

Main data

Where Ray Yeutien Chou has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Journal of Econometrics2
The North American Journal of Economics and Finance2

Recent works citing Ray Yeutien Chou (2025 and 2024)

YearTitle of citing document
2024Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model. (2024). Karim, Rizwanul. In: Papers. RePEc:arx:papers:2403.02560.

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2024Quantile deep learning models for multi-step ahead time series prediction. (2024). Maddocks, Amelia ; Rangarajan, Smruthi ; Cheung, Jimmy ; Chandra, Rohitash ; Chen, Xizhe. In: Papers. RePEc:arx:papers:2411.15674.

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2025CoFinDiff: Controllable Financial Diffusion Model for Time Series Generation. (2025). Tanaka, Yuki ; Hashimoto, Ryuji ; Izumi, Kiyoshi ; Murayama, Yuri ; Piao, Zhe ; Takayanagi, Takehiro. In: Papers. RePEc:arx:papers:2503.04164.

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2024.

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2024.

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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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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2024State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

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2024The influence of grain futures market on stock price fluctuation of agricultural listed companies. (2024). Zhou, Ning ; Shi, QI ; Zhang, Lulu. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011674.

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2024International trade network and stock market connectedness: Evidence from eleven major economies. (2024). Mishra, Tapas ; Patra, Ramakanta ; Raju, V L ; You, Kefei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000052.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024Misreaction, hedging pressure, and its effect on the futures market. (2024). Yuan, Shu-Fang ; Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001902.

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2024A permutation entropy analysis of Bitcoin volatility. (2024). Olivier, Carel Petrus ; Seitshiro, Modisane ; Obanya, Praise Otito ; Verster, Tanja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:638:y:2024:i:c:s0378437124001171.

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2024The impact of retail investor sentiment on the conditional volatility of stocks and bonds: Evidence from the Tel-Aviv stock exchange. (2024). Kedar-Levy, Haim ; Hadad, Elroi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1303-1313.

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2024How does oil market volatility impact mutual fund performance?. (2024). Vivian, Andrew ; Calice, Giovanni ; Alsubaiei, Bader Jawid. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1601-1621.

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2024Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries. (2024). Yuan, DI ; Zhang, Feipeng ; Li, Dongxin ; Cai, Yuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:909-939.

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2025On the time-frequency effects of macroeconomic policy on growth cycles in Brazil. (2025). Monteiro, Valdeir ; Alves, Douglas ; Matos, Paulo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004537.

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2024COVID-19 Impact on Stock Markets: A Multiscale Event Analysis Perspective. (2024). Huang, Qin ; Xu, Guanglong ; Li, Helong ; Zhang, Weiguo ; Ruan, Rubin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-023-10448-6.

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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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2025Integration, Contagion and Turmoils; Evidence from Emerging markets. (2025). Harzallah, Amira ; Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:123775.

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2024Statistical methods for decision support systems in finance: how Benford’s law predicts financial risk. (2024). Riccioni, Jessica ; Maggi, Mario ; Cerqueti, Roy. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-022-04742-z.

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2024Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?. (2024). Barreto, Abdinardo Moreira ; Mandal, Anandadeep ; Power, Gabriel J. In: Annals of Data Science. RePEc:spr:aodasc:v:11:y:2024:i:2:d:10.1007_s40745-022-00446-0.

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2025Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x.

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2024.

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2024Investor trading behavior and asset prices: Evidence from quantile regression analysis. (2024). Yang, Chunpeng ; Lin, Weinan ; Zhou, Liyun. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1722-1744.

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Works by Ray Yeutien Chou:

YearTitleTypeCited
1991es modéles ARCH en finance : un point sur la théorie et les résultats empiriques In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2016Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article2
2010The economic value of volatility timing using a range-based volatility model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article34
2013Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article24
2014Interest rate risk propagation: Evidence from the credit crunch In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article7
1992ARCH modeling in finance : A review of the theory and empirical evidence In: Journal of Econometrics.
[Full Text][Citation analysis]		article1652
2000Testing time reversibility without moment restrictions In: Journal of Econometrics.
[Full Text][Citation analysis]		article45
2009Range-based multivariate volatility model with double smooth transition in conditional correlation In: Global Finance Journal.
[Full Text][Citation analysis]		article8
2020Macroeconomic forecasting using approximate factor models with outliers In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2009Explaining international stock correlations with CPI fluctuations and market volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article70
2012The sources of bank productivity growth in China during 2002–2009: A disaggregation view In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article57
2017Risk evaluations with robust approximate factor models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2020Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test In: Research in International Business and Finance.
[Full Text][Citation analysis]		article12
2006Modeling the Asymmetry of Stock Movements Using Price Ranges In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter1
1995Determinants of U.S. commercial bank performance: regulatory and econometric issues In: Finance and Economics Discussion Series.
[Citation analysis]		paper5
1988Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article186
2014Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis? In: Journal of Productivity Analysis.
[Full Text][Citation analysis]		article3
2009Forecasting time-varying covariance with a range-based dynamic conditional correlation model In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article23
2005Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model. In: Journal of Money, Credit and Banking.
[Citation analysis]		article179
1991Measuring Risk Aversion From Excess Returns on a Stock Index In: NBER Working Papers.
[Full Text][Citation analysis]		paper58
2018Anchoring Effect on Macroeconomic Forecasts : A Heterogeneity Approach In: Journal for Economic Forecasting.
[Full Text][Citation analysis]		article0
2012The euros impacts on the smooth transition dynamics of stock market volatilities In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2000Market volatility and the demand for hedging in stock index futures In: Journal of Futures Markets.
[Full Text][Citation analysis]		article14

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