Details about Ray Yeutien Chou

Access statistics for papers by Ray Yeutien Chou.

Last updated 2024-07-17. Update your information in the RePEc Author Service.

Short-id: pch263

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 (5)

1991

2. Measuring Risk Aversion From Excess Returns on a Stock Index
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)

Journal Articles

2020

1. Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test
   Research in International Business and Finance, 2020, 52, (C) View citations (10)
2. Macroeconomic forecasting using approximate factor models with outliers
   International Journal of Forecasting, 2020, 36, (2), 267-291 View citations (2)

2018

3. Anchoring Effect on Macroeconomic Forecasts: A Heterogeneity Approach
   Journal for Economic Forecasting, 2018, (4), 134-147

2017

4. Risk evaluations with robust approximate factor models
   Journal of Banking & Finance, 2017, 82, (C), 244-264 View citations (2)

2016

5. Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model
   Oxford Bulletin of Economics and Statistics, 2016, 78, (1), 126-144 View citations (2)

2014

6. Interest rate risk propagation: Evidence from the credit crunch
   The North American Journal of Economics and Finance, 2014, 28, (C), 242-264 View citations (7)
7. 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 View citations (3)

2013

8. 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 (24)

2012

9. The euro's impacts on the smooth transition dynamics of stock market volatilities
   Quantitative Finance, 2012, 12, (2), 169-179 View citations (2)
10. 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 (57)

2010

11. 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 (34)

2009

12. Explaining international stock correlations with CPI fluctuations and market volatility
    Journal of Banking & Finance, 2009, 33, (11), 2026-2035 View citations (70)
13. 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 (26)
14. Range-based multivariate volatility model with double smooth transition in conditional correlation
    Global Finance Journal, 2009, 20, (2), 137-152 View citations (8)

2005

15. 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 (184)

2000

16. Market volatility and the demand for hedging in stock index futures
    Journal of Futures Markets, 2000, 20, (2), 105-125 View citations (14)
17. Testing time reversibility without moment restrictions
    Journal of Econometrics, 2000, 95, (1), 199-218 View citations (45)

1992

18. ARCH modeling in finance: A review of the theory and empirical evidence
    Journal of Econometrics, 1992, 52, (1-2), 5-59 View citations (1654)

1991

19. es modéles ARCH en finance: un point sur la théorie et les résultats empiriques
    Annals of Economics and Statistics, 1991, (24), 1-59

1988

20. Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch
    Journal of Applied Econometrics, 1988, 3, (4), 279-94 View citations (188)

Chapters

2006

1. Modeling the Asymmetry of Stock Movements Using Price Ranges
   A chapter in Econometric Analysis of Financial and Economic Time Series, 2006, pp 231-257 View citations (1)