Yongcheol Shin

University of York (UK) - Department of Economics and Related Studies

Professor

Heslington

York, YO1 5DD

United Kingdom

SCHOLARLY PAPERS

15

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Top 21,234

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3,592

SSRN CITATIONS
Rank 21,880

SSRN RANKINGS

Top 21,880

in Total Papers Citations

16

CROSSREF CITATIONS

29

Scholarly Papers (15)

1.

Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks

Number of pages: 48 Posted: 24 Apr 2018
University of Melbourne - Melbourne Business School, University of Melbourne and University of York (UK) - Department of Economics and Related Studies
Downloads 742 (50,744)
Citation 13

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Network Modelling, Quantile Vector Autoregression with Common Factors, Quantile Connectedness, Financial-Sovereign Credit Risk Transmission, Tail-Dependence

2.

In Search of Robust Methods for Dynamic Panel Data Models in Empirical Corporate Finance

Journal of Banking and Finance, Forthcoming
Number of pages: 61 Posted: 03 Aug 2010 Last Revised: 13 Dec 2014
Viet Anh Dang, Minjoo Kim and Yongcheol Shin
Alliance Manchester Business School, University of Liverpool - Accounting and Finance Division and University of York (UK) - Department of Economics and Related Studies
Downloads 536 (76,815)
Citation 4

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Dynamic panel data estimation; GMM; bias correction; capital structure; cash holdings

3.

Nonlinear Limits to Arbitrage

Number of pages: 52 Posted: 11 May 2011 Last Revised: 10 Feb 2021
University of Liverpool Management School, University of York, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 351 (125,879)
Citation 1

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Limited Arbitrage, Noise Momentum, Futures and Spot Prices, Markov Switching Model

4.

The Decoupling of Monetary Policy from Long-Term Rates in the U.S. during the Great Moderation

Number of pages: 30 Posted: 25 Jul 2011 Last Revised: 08 Oct 2013
University of Melbourne, University of York (UK) - Department of Economics and Related Studies, Hans-Boeckler-Stiftung - Macroeconomic Policy Institute (IMK) and Dept. of International Trade, Dong-A University
Downloads 342 (129,554)
Citation 7

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nonlinear autoregressive distributed lag (NARDL) model, asymmetric interest rate pass-through, great moderation, Greenspan decoupling conundrum

International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach

Melbourne Institute Working Paper No. 18
Number of pages: 79 Posted: 15 Sep 2012
University of Melbourne, University of Melbourne - Melbourne Institute: Applied Economic & Social Research and University of York (UK) - Department of Economics and Related Studies
Downloads 85 (422,497)
Citation 4

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Global VAR, impulse response analysis, forecast error variance decomposition

6.

Measuring the Connectedness of the Global Economy

Melbourne Institute Working Paper No. 7/15
Number of pages: 57 Posted: 30 Mar 2015
University of Melbourne, University of Melbourne - Melbourne Institute: Applied Economic & Social Research and University of York (UK) - Department of Economics and Related Studies
Downloads 257 (174,059)
Citation 15

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Generalised Connectedness Measures (GCMs), international linkages, network analysis, macroeconomic connectedness

7.

Asymmetric Adjustment Toward Optimal Capital Structure: Evidence from a Crisis

International Review of Financial Analysis, Forthcoming
Number of pages: 55 Posted: 22 Feb 2014
Viet Anh Dang, Minjoo Kim and Yongcheol Shin
Alliance Manchester Business School, University of Liverpool - Accounting and Finance Division and University of York (UK) - Department of Economics and Related Studies
Downloads 247 (180,851)

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Capital Structure, Global Financial Crisis, Trade-off Theory, Partial Adjustment Model, Dynamic Panel Threshold Model.

8.

Noise Momentum Around the World

Number of pages: 38 Posted: 13 Jul 2014
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Liverpool Management School, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 209 (211,827)

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limited arbitrage, noise momentum, initial mispricing correction, futures and spot prices

Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Number of pages: 45 Posted: 29 May 2014 Last Revised: 15 Feb 2015
University of Melbourne, University of Melbourne - Melbourne Institute: Applied Economic & Social Research and University of York (UK) - Department of Economics and Related Studies
Downloads 134 (308,669)
Citation 2

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Quantifying Informational Linkages in a Global Model of Currency Spot Markets

Melbourne Institute Working Paper No. 17/14
Number of pages: 35 Posted: 09 Aug 2014
University of Melbourne, University of Melbourne - Melbourne Institute: Applied Economic & Social Research and University of York (UK) - Department of Economics and Related Studies
Downloads 46 (578,017)
Citation 1

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Exchange rates, order flows, global VAR, connectedness and spillovers, safe haven currency

10.

FARVaR: Functional Autoregressive Value-at-Risk

Journal of Financial Econometrics, forthcoming
Number of pages: 81 Posted: 23 Mar 2014 Last Revised: 05 Mar 2019
Charlie X. Cai, Minjoo Kim, Yongcheol Shin and Qi Zhang
University of Liverpool Management School, University of Liverpool - Accounting and Finance Division, University of York (UK) - Department of Economics and Related Studies and Independent
Downloads 178 (244,173)

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density forecasts; financial risk management; functional autoregressive model

11.

Dynamic Network Quantile Regression Model

Number of pages: 83 Posted: 29 Sep 2020 Last Revised: 15 Nov 2021
Soochow University, University of Yorkaffiliation not provided to SSRN, University of York (UK) - Department of Economics and Related Studies and University of York - Department of Economics and Related Studies
Downloads 175 (247,752)

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Dynamic Network Quantile Regression Model, Simultaneous Network Endogeneity, IVQR Estimator, Quantile Connectedness

12.

Taxation and the Asymmetric Adjustment of Selected Retail Energy Prices in the UK

Economics Letters, Forthcoming
Number of pages: 14 Posted: 14 Jun 2013 Last Revised: 19 Sep 2013
Matthew Greenwood-Nimmo and Yongcheol Shin
University of Melbourne and University of York (UK) - Department of Economics and Related Studies
Downloads 130 (314,774)
Citation 3

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Nonlinear ARDL (NARDL), Asymmetric Gasoline Price Adjustment, Rockets and Feathers Hypothesis

13.

Canonical Correlation-based Model Selection for the Multilevel Factors

Journal of Econometrics, Forthcoming
Number of pages: 40 Posted: 20 May 2020 Last Revised: 10 Jan 2022
In Choi, Rui Lin and Yongcheol Shin
Sogang University - Department of Economics, University of York and University of York (UK) - Department of Economics and Related Studies
Downloads 113 (348,133)
Citation 1

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Multilevel Factor Models, Principal Components, Canonical Correlation Difference, Multilevel Asset Pricing Models

14.

Mapping Korea's International Linkages Using Generalised Connectedness Measures

Bank of Korea WP 2014-16
Number of pages: 51 Posted: 28 Mar 2015
Hail Park and Yongcheol Shin
Kyung-Hee University and University of York (UK) - Department of Economics and Related Studies
Downloads 45 (571,786)
Citation 4

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Small Open Economy of Korea, Global VAR, Forecast Error Variance Decomposition, Generalised Connectedness Measures

15.

Noise Momentum Around the World

Abacus, Vol. 54, Issue 1, pp. 79-104, 2018
Number of pages: 26 Posted: 15 Mar 2018
Charlie X. Cai, Robert W. Faff and Yongcheol Shin
University of Bradford - School of Management, University of Queensland and University of York (UK) - Department of Economics and Related Studies
Downloads 2 (922,447)
Citation 2

Abstract:

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Futures and spot prices, Initial mispricing correction, Limited arbitrage, Noise momentum