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Details about Ray Yeutien Chou

E-mail:
Workplace:Institute of Economics, Academia Sinica, (more information at EDIRC)

Access statistics for papers by Ray Yeutien Chou.

Last updated 2015-01-20. Update your information in the RePEc Author Service.

Short-id: pch263


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Working Papers

1995

  1. Determinants of U.S. commercial bank performance: regulatory and econometric issues
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)

1994

  1. Cointegration of International Stock Market Indices
    IMF Working Papers, International Monetary Fund Downloads View citations (26)

1991

  1. Measuring Risk Aversion From Excess Returns on a Stock Index
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (52)

Journal Articles

2014

  1. Interest rate risk propagation: Evidence from the credit crunch
    The North American Journal of Economics and Finance, 2014, 28, (C), 242-264 Downloads View citations (3)
  2. Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?
    Journal of Productivity Analysis, 2014, 41, (1), 141-151 Downloads

2013

  1. Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market
    The North American Journal of Economics and Finance, 2013, 26, (C), 72-91 Downloads View citations (4)

2012

  1. The euro's impacts on the smooth transition dynamics of stock market volatilities
    Quantitative Finance, 2012, 12, (2), 169-179 Downloads
  2. The sources of bank productivity growth in China during 2002–2009: A disaggregation view
    Journal of Banking & Finance, 2012, 36, (7), 1997-2006 Downloads View citations (24)

2010

  1. The economic value of volatility timing using a range-based volatility model
    Journal of Economic Dynamics and Control, 2010, 34, (11), 2288-2301 Downloads View citations (7)

2009

  1. Explaining international stock correlations with CPI fluctuations and market volatility
    Journal of Banking & Finance, 2009, 33, (11), 2026-2035 Downloads View citations (36)
  2. Forecasting time-varying covariance with a range-based dynamic conditional correlation model
    Review of Quantitative Finance and Accounting, 2009, 33, (4), 327-345 Downloads View citations (11)
  3. Range-based multivariate volatility model with double smooth transition in conditional correlation
    Global Finance Journal, 2009, 20, (2), 137-152 Downloads View citations (2)

2005

  1. Forecasting Financial Volatilities with Extreme Values: The Conditional Autoregressive Range (CARR) Model
    Journal of Money, Credit and Banking, 2005, 37, (3), 561-82 View citations (95)

2000

  1. Testing time reversibility without moment restrictions
    Journal of Econometrics, 2000, 95, (1), 199-218 Downloads View citations (24)

1992

  1. ARCH modeling in finance: A review of the theory and empirical evidence
    Journal of Econometrics, 1992, 52, (1-2), 5-59 Downloads View citations (1163)

1988

  1. Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch
    Journal of Applied Econometrics, 1988, 3, (4), 279-94 Downloads View citations (115)
 
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