Ray Y. Chou

Academia Sinica

Adjunct Research Fellow

128 Academia Road, Section 2

Nankang

Taipei, 11529

Taiwan

SCHOLARLY PAPERS

10

DOWNLOADS

1,321

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (10)

1.

Range Volatility Models and Their Applications in Finance

HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., 2009
Number of pages: 25 Posted: 10 Jun 2008 Last Revised: 02 Feb 2009
Ray Y. Chou, Heng-Chih Chou and Nathan Liu
Academia Sinica, National Taiwan Ocean University and Institute of Finance, National Chiao Tung University
Downloads 1,015 (32,056)
Citation 1

Abstract:

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CARR, DCC, GARCH, High/low range, realized volatility, multivariate volatility, volatility

2.

The Economic Value of Volatility Timing using a Range-Based Volatility Model

Number of pages: 31 Posted: 22 Jan 2009
Ray Y. Chou and Nathan Liu
Academia Sinica and Institute of Finance, National Chiao Tung University
Downloads 219 (197,473)
Citation 1

Abstract:

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Asset allocation, CARR, DCC, Economic value, Range, Volatility timing

3.

Forecasting Expected Shortfall and Value-at-Risk with the FZ Loss and Realized Variance Measures

Number of pages: 55 Posted: 23 Sep 2019 Last Revised: 10 Jan 2022
Ray Y. Chou, Tso-Jung Yen and Yu-Min Yen
Academia Sinica, Academia Sinica - Institute of Statistical Science and Department of International Business, National Chengchi University
Downloads 72 (446,988)

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Expected shortfall, Forecast, Realized variance measure, Semiparametric estimation, Value-at-risk

4.

Macroeconomic Forecasting Using Approximate Factor Models with Outliers

International Journal of Forecasting, vol. 36, 2020
Number of pages: 45 Posted: 08 Oct 2019 Last Revised: 28 Nov 2020
Ray Y. Chou, Tso-Jung Yen and Yu-Min Yen
Academia Sinica, Academia Sinica - Institute of Statistical Science and Department of International Business, National Chengchi University
Downloads 8 (825,754)

Abstract:

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Approximate factor model, Macroeconomic forecast, Multivariate time series, Outlier, Principal component analysis

5.

Risk Evaluations with Robust Approximate Factor Models

Journal of Banking and Finance, Vol. 82, 2017
Number of pages: 48 Posted: 17 Nov 2016 Last Revised: 28 Sep 2019
Ray Y. Chou, Tso-Jung Yen and Yu-Min Yen
Academia Sinica, Academia Sinica - Institute of Statistical Science and Department of International Business, National Chengchi University
Downloads 6 (847,379)
Citation 1

Abstract:

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Approximate Factor Model, PCA, Norm Penalty, Common Factor, Idiosyncratic Risk, VaR

6.

Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model

Oxford Bulletin of Economics and Statistics, Vol. 78, Issue 1, pp. 126-144, 2016
Number of pages: 19 Posted: 20 Jan 2016
Min-Hsien Chiang, Ray Y. Chou and Li‐Min Wang
National Cheng Kung University - Institute of International Business, Academia Sinica and affiliation not provided to SSRN
Downloads 1 (911,097)
Citation 1

Abstract:

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7.

Interest Rate Risk Propagation: Evidence from the Credit Crunch

North American Journal of Economics and Finance, Vol. 28, p. 242-264, 2014
Posted: 12 Sep 2016
Hsin-Feng Yang, Chih-Liang Liu and Ray Y. Chou
Independent, National Yunlin University of Science and Technology - Department of Finance and Academia Sinica

Abstract:

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Risk Contagion; CoVaR; Liquidity Risk; Credit Risk; Financial Crisis

8.

Range Volatility: A Review of Models and Empirical Studiues

Handbook of Financial Econometrics and Statistics, Forthcoming
Posted: 30 Oct 2012
Ray Y. Chou, Heng-Chih Chou and Nathan Liu
Academia Sinica, National Taiwan Ocean University and Institute of Finance, National Chiao Tung University

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Range, Volatility forecasting, Dynamic conditional correlation, Smooth transition, Copula, Realized volatility, Risk management.

9.

Determinants of U.S. Commercial Bank Performance: Regulatory and Econometric Issues

Posted: 25 Aug 1998
Bureau of Labor Statistics, Auburn University, Academia Sinica and Auburn University - Harbert College of Business

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10.

Correlation Structure of the Permanent and Temporary Components of International Stock Market Prices

Posted: 24 Aug 1998
Ray Y. Chou and Victor K. Ng
Academia Sinica and International Monetary Fund (IMF) - Research Department

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