Ray Y. Chou

Academia Sinica

Associate Research Fellow

128 Academia Road, Section 2

Nankang

Taipei, 11529

Taiwan

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 35,628

SSRN RANKINGS

Top 35,628

in Total Papers Downloads

956

CITATIONS
Rank 40,132

SSRN RANKINGS

Top 40,132

in Total Papers Citations

4

Scholarly Papers (7)

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 717 (25,451)
Citation 2

Abstract:

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 193 (123,365)
Citation 2

Abstract:

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

3.

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:

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

4.

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 0 (548,832)

Abstract:

5.

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

Abstract:

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

6.

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

FEDS Paper Number: 95- 29
Posted: 25 Aug 1998
affiliation not provided to SSRN, Auburn University, Academia Sinica and Auburn University - Harbert College of Business

Abstract:

7.

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

Abstract: