Details about Ray Yeutien Chou
Access statistics for papers by Ray Yeutien Chou.
Last updated 2015-01-20. Update your information in the RePEc Author Service.
Jump to Journal Articles
- 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)
- Cointegration of International Stock Market Indices
IMF Working Papers, International Monetary Fund View citations (26)
- Measuring Risk Aversion From Excess Returns on a Stock Index
NBER Working Papers, National Bureau of Economic Research, Inc View citations (52)
- Interest rate risk propagation: Evidence from the credit crunch
The North American Journal of Economics and Finance, 2014, 28, (C), 242-264 View citations (3)
- 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
- 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 View citations (4)
- The euro's impacts on the smooth transition dynamics of stock market volatilities
Quantitative Finance, 2012, 12, (2), 169-179
- The sources of bank productivity growth in China during 2002–2009: A disaggregation view
Journal of Banking & Finance, 2012, 36, (7), 1997-2006 View citations (24)
- The economic value of volatility timing using a range-based volatility model
Journal of Economic Dynamics and Control, 2010, 34, (11), 2288-2301 View citations (7)
- Explaining international stock correlations with CPI fluctuations and market volatility
Journal of Banking & Finance, 2009, 33, (11), 2026-2035 View citations (36)
- Forecasting time-varying covariance with a range-based dynamic conditional correlation model
Review of Quantitative Finance and Accounting, 2009, 33, (4), 327-345 View citations (11)
- Range-based multivariate volatility model with double smooth transition in conditional correlation
Global Finance Journal, 2009, 20, (2), 137-152 View citations (2)
- 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 (94)
- Testing time reversibility without moment restrictions
Journal of Econometrics, 2000, 95, (1), 199-218 View citations (24)
- ARCH modeling in finance: A review of the theory and empirical evidence
Journal of Econometrics, 1992, 52, (1-2), 5-59 View citations (1162)
- Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch
Journal of Applied Econometrics, 1988, 3, (4), 279-94 View citations (115)
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.