← All authors Félix Chan Curtin University (from arXiv:2401.11229, 2024) · ORCID · OpenAlex
46 papers in scope · 45 published · 2 on the econ.EM arXiv · 1,189 citations · h-index 14 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jörg Stoye Hiroaki Kaido Francesca Molinari Chen Qiu Yuichi Kitamura Levon Barseghyan Christian Holberg Susanne Ditlevsen Andres Fernandez Yusufcan Masatlıoĝlu Nail Kashaev John Quah Rahul Deb Gregory A. Cox Victor H. Aguiar Lezhi Tan Xiaoxia Shi José Luis Montiel Olea László Mátyás Ágoston Reguly Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 46)
published 2026 · AStA Advances in Statistical Analysis · first circulated 2024
The Cost of Congestion for State and Local General Government Services in Australia
published 2024 · Australian Economic Review
with Jeffrey D. Petchey
working paper 2024 · arXiv
A pulse check on recent developments in time series econometrics
published 2022 · Journal of Economic Surveys
with Les Oxley
Modeling the decision of ridesourcing drivers to park and wait at trip ends: a comparison between Perth, Australia and Kolkata, India
published 2022 · Transportation · 3 citations
with Jayita Chakraborty, Debapratim Pandit, Jianhong Xia
Modeling time‐varying higher‐order conditional moments: A survey
published 2021 · Journal of Economic Surveys · 6 citations
with Sylvia J. Soltyk
Event count estimation
published 2021 · Econometric Reviews
Some theoretical results on forecast combinations
published 2017 · International Journal of Forecasting · 76 citations · first circulated 2015
with Laurent L. Pauwels
Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?
published 2017 · Journal of Asian Economics · 2 citations
with Muammer Wali, Meher Manzur
The Validity of Investor Sentiment Proxies
published 2016 · International Review of Finance · 21 citations
with Robert B. Durand, Joyce Khuu, Lee A. Smales
Liquidation discount—a novel application of ARFIMA–GARCH
published 2016 · Journal of Empirical Finance
with Ranjodh Singh, John Gould, Joey Yang
Is it optimal to combine forecast with a simple average?
published 2015 · Weber, T., McPhee, M.J. and Anderssen, R.S. (eds) MODSIM2015, 21st International Congress on Modelling and Simulation
with Laurent L. Pauwels
Permanent and transitory shocks in the presence of asymmetric error correction
published 2015 · Applied Economics · 2 citations
with George MacDonald
Structure and asymptotic theory for nonlinear models with GARCH errors
published 2015 · EconomiA · 5 citations · first circulated 2010
Time series properties of liquidation discount
published 2013 · Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation
with John Gould, Ranjodh Singh, Jiping Yang
Testing intra-daily seasonality using Maximum Entropy Density
published 2013 · Piantadosi, J., Anderssen, R.S. and Boland J. (eds) MODSIM2013, 20th International Congress on Modelling and Simulation
with Ranjodh Singh
Modelling and simulation: An overview
published 2013 · Mathematics and Computers in Simulation · 3 citations
with Michael McAleer, Les Oxley
An Empirical Modelling of New Zealand Hospitality and Tourism Stock Returns
published 2013 · ISRN Economics · 9 citations
with Christine Lim
The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence
published 2012 · Mathematics and Computers in Simulation · 1 citations
with Laurent L. Pauwels, Johnathan Wongsosaputro
Testing for Structural Change in Heterogeneous Panels with an Application to the Euro's Trade Effect
published 2012 · Journal of Time Series Econometrics · 12 citations
with Laurent L. Pauwels, Tommaso Mancini Griffoli
It pays to violate: how effective are the Basel accord penalties in encouraging risk management?
published 2011 · Accounting and Finance · 19 citations · first circulated 2009
with Bernardo da Veiga, Michael McAleer
Spectral analysis of seasonality in tourism demand
published 2010 · Mathematics and Computers in Simulation · 26 citations
with Christine Lim
Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
published 2010 · Mathematics and Computers in Simulation · 17 citations
with Billy Theoharakis
Model specification in panel data unit root tests with an unknown break
published 2010 · Mathematics and Computers in Simulation · 7 citations
with Laurent L. Pauwels
Exchange Rate Volatility and Purchasing Power Parity: Does Euro Make Any Difference?
published 2010 · International Journal of Banking and Finance · 8 citations
with Meher Manzur
Modeling Volatility in Foreign Currency Option Pricing
published 2009 · Multinational Finance Journal · 3 citations
with Ariful Hoque, Meher Manzur
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
published 2009 · Econometric Reviews · 221 citations
with Michael McAleer, Suhejla Hoti
Modelling time-varying higher moments with maximum entropy density
published 2008 · Mathematics and Computers in Simulation · 12 citations
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
published 2008 · Journal of Econometrics · 67 citations
with David E. Allen, Michael McAleer, Shelton Peiris
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
published 2008 · Econometric Theory · 183 citations
with Michael McAleer, Suhejla Hoti, Offer Lieberman
DETERMINANTS OF COMMERCIAL MORTGAGE‐BACKED SECURITIES CREDIT RATINGS: AUSTRALIAN EVIDENCE
published 2008 · International Journal of Strategic Property Management · 4 citations
with Bwembya Chikolwa
Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
published 2008 · Mathematics and Computers in Simulation · 8 citations
with Bernardo da Veiga, Michael McAleer
Efficiency of the foreign currency options market
published 2008 · Global Finance Journal · 16 citations
with Ariful Hoque, Meher Manzur
Applications of physical methods in high-frequency futures markets
published 2007 · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 7 citations
with M. Bartolozzi, Chris Mellen, Dev Oliver, Tiziana Di Matteo, Tomaso Aste
Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
published 2007 · Pacific-Basin Finance Journal · 14 citations
with Bernardo da Veiga, Michael McAleer
An econometric analysis of asymmetric volatility: Theory and application to patents
published 2006 · Journal of Econometrics · 203 citations
with Michael McAleer, Дора Маринова
Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
published 2005 · Mathematics and Computers in Simulation · 9 citations
with Suhejla Hoti, Michael McAleer
Modelling thresholds and volatility in US ecological patents
published 2004 · Environmental Modelling & Software · 16 citations
with Дора Маринова, Michael McAleer
Rolling regressions and conditional correlations of foreign patents in the USA
published 2004 · Environmental Modelling & Software · 12 citations
with Дора Маринова, Michael McAleer
Trends and volatilities in foreign patents registered in the USA
published 2004 · Applied Economics · 7 citations
with Дора Маринова, Michael McAleer
Modelling the asymmetric volatility of anti-pollution patents in the USA
published 2004 · Scientometrics · 6 citations · first circulated 2003
with Дора Маринова, Michael McAleer
Modelling the asymmetric volatility of electronics patents in the USA
published 2003 · Mathematics and Computers in Simulation · 3 citations · first circulated 2002
with Дора Маринова, Michael McAleer
On the Structure, Asymptotic Theory and Applications of STAR-GARCH Models
published 2003 · CIRJE F-Series · 4 citations
no link
Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers
published 2003 · Applied Financial Economics · 45 citations · first circulated 2001
with Michael McAleer
Maximum likelihood estimation of STAR and STAR‐GARCH models: theory and Monte Carlo evidence
published 2002 · Journal of Applied Econometrics · 73 citations
with Michael McAleer
Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings
published 2002 · CIRJE F-Series · 59 citations
with Suhejla Hoti, Michael McAleer
no link
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