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Adjunct Research Fellows

Chou, Ray-Yeutien

Chou, Ray-Yeutien

  • E-Mail：rchou at econ.sinica.edu.tw
  • CV：CV
  • curriculum vitae：

    Ph.D. in Economics, University of California, San Diego (1988)
    Research Fields: Econometrics, Financial Markets, Time Series Analysis

Education background

  • Ph.D. in Economics, University of California, San Diego (1988)

Current Position

  • Adjunct Research Fellow, Institute of Economics, Academia Sinica (8/2020-)

Experience

  • Research Fellow, Institute of Economics, Academia Sinica (3/2005-7/2020)
  • Adjunct Professor, National Chiao Tung University (3/2005-)
  • Visiting Scholar, Stern School of Business, New York Universty of. (2/2013-6/2013)
  • Adjunct Professor, Graduate School of Business, Fordham Universty (2/2013-6/2013)
  • Associate Research Fellow Institute of Economics, Academia Sinica (6/1995-3/2005)
  • Adjunct Associate Professor National Chiao Tung University (9/2004-3/2005)
  • Visiting Scholar, Graduate School of Business, Universty of. Chicago (9/2000-3/2001)
  • Adjunct Associate Professor National Central University (9/1995-6/2004)
  • Adjunct Associate Professor National Taiwan University (9/1995-2/1996)
  • Assistant Professor Georgia Institute of Technology (9/1988-6/1995)

Awards

  • Ranked 4 of 235 economists in Taiwan, among top 3% in Asia. Also among top 3% in the world in number of citations. See IDEAS, RePEc, October, 2020.
  • Albert Nelson Marquis Lifetime Achievement Award 2017, 2018.
  • Listed in Marquis Who’s Who in the World, 2004, 2012-13, 2015, 2017-20.
  • Listed in Who's Who in Asia 2017.
  • Listed in Who’s Who in Economics, Edward Elgar Publishing Ltd., 2003.
  • Third most cited papers in Journal of Econometrics, Vol.1-150, 2009.
  • Cited in the Press Release for the 2003 Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel.
  • The article Bollerslev/Chou/Kroner (1992) is ranked first as the most frequently cited papers among all articles published in Journal of Econometrics in 1990-2000 and ranked 3rd in 1980-2000. See Dirkmaat, Journal of Econometrics, 2001, 100.

Editorship

  • Taipei Economic Inquiry (1998-)
  • Review of Financial Risk Management (2005-)
  • Journal of Management & Systems (2007-)
  • Taiwan Economic Forecast and Policy (2009-)

Publications

Journals(Click)

  • Hsin-Feng Yang, Chih-Liang Liu, and Ray Yeutien Chou(2020), "Bank Diversification and Systemic Risk," Quarterly Review of Economics and Finance, 77(N/A), 311-326. Files(Open New Window)
  • Dost Torun, Tzu-Pu Chang, and Ray Yeutien Chou(2020), "Causal Relationship between Spot and Futures Prices with Multiple Time Horizons: A Nonparametric Wavelet Granger Causality Test," Research in International Business and Finance, 52(C), 101-115. Links(Open New Window)
  • Ray Yeutien Chou, Tso-Jung Yen, and Yu-Min Yen(2020), "Macroeconomic Forecasting Using Approximate Factor Models with Outliers," International Journal of Forecasting, 36(2), 267. Files(Open New Window)
  • Chang, T.P. and Ray Yeutien Chou(2018), "Anchoring Effect on Macroeconomic Forecasts: A Heterogeneity Approach," Romanian Journal of Economic Forecasting, 21(4), 134-147. Files(Open New Window)
  • Chou, Ray Yeutien, C.C. Wu and S.Y. Yang(2017), "Volatility Spillover in the US and European Equity Markets: Evidence from Ex-ante and Ex-post Volatility Indicators," Review of Securities and Futures Markets, 29(3), 111-148. Files(Open New Window)
  • Chou, Ray Yeutien,Y.M. Yen and T.R. Yen(2017), "Risk Evaluations with Robust Approximate Factor Models," Journal of Banking and Finance, 82(N/A), 244-264. Files(Open New Window)
  • Chou, Ray Yeutien, M.H. Chiang and L.M. Wang(2016), "Outlier Detection in the Lognormal Logarithmic Conditional Autoregressive Range Model," Oxford Bulletin of Economics and Statistics, 78(1), 126-144. Files(Open New Window)
  • Chou, Ray Yeutien, HF Yang and CL Liu(2014), "Interest Rate Risk Propagation: Evidence from the Credit Crunch," North American Journal of Economics and Finance, 28(N/A), 242-264. Files(Open New Window)
  • Chou, Ray Yeutien, LC Liao and BH Chiu(2013), "Anchoring Effect on Foreign Institutional Investors' Momentum Trading Behavior: Evidence from the Taiwan Stock Market," North American Journal of Economics and Finance , 26(C), 72-91. Files(Open New Window)
  • Chou, Ray Yeutien, Jin-Li Hu and Tzu-Pu Chang(2013), "Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?," Journal of Productivity Analysis, forthcoming(forthcoming), forthcoming. Files(Open New Window)
  • Chou, Ray Yeutien, Tzu-Pu Chang, Jin-Li Hu and Lei Sun(2012), "The Sources of Bank Productivity Growth in China during 2002-2009: A Disaggregation View," Journal of Banking and Finance, 36(7), 1997-2006. Files(Open New Window)
  • Chou, Ray Yeutien, Wu, Chun-Chou and Yang, Y-Nung(2012), "The Euro's Impacts on the Smooth Transition Dynamics of Stock Market Volatilities," Quantitative Finance, 12(2), 169-179. Files(Open New Window)
  • Chou, Ray Yeutien and Nathan Liu(2010), "The Economic Value of Volatility Timing Using a Range-based Volatility Model," Journal of Economic Dynamics and Control, 34(na), 2288-2301. Files(Open New Window)
  • Chou, Ray Yeutien, Yijie Cai and Dan Li(2009), "Explaining International Stock Correlations with CPI Fluctuations and Market Volatility," Journal of Banking & Finance, 33(na), 2026-2035. Files(Open New Window)
  • Chou, Ray Yeutien and Yijie Cai(2009), "Range-based Multivariate Volatility Model with Double Smooth Transition in Conditional Correlation," Global Finance Journal, 20(2), 137-152. Files(Open New Window)
  • Chou, Ray Yeutien, Chun-Chou Wu and Nathan Liu(2009), "Forecasting Time-Varying Covariance with Range-Based Dynamic Conditional Correlation Model," Review of Quantitative Finance and Accounting, 33(4), 327-345. Files(Open New Window)
  • Chou, Ray Yeutien(2006), "Modeling the Asymmetry of Stock Movements Using Price Ranges," Advances in Econometrics, 20A(na), 231-257.
  • Chou, Ray Yeutien(2005), "Forecasting Financial Volatilities With Extreme Values: The Conditional AutoRegressive Range (CARR) Model," Journal of Money Credit and Banking, 37(3), 561-582. Files(Open New Window)
  • Chou, Ray Yeutien, Chun-Chou Wu and Nathan Liu(2004), "A Comparison and Empirical Study in Forecasting Abilities of Dynamic Volatility Models(in Chinese)," Journal of Financial Studies, 12(1), 1-25.
  • Chou, Ray Yeutien, Wen-Chung Guo (2004), "Testing for Short Termism in the US Stock Market," Research in Banking and Finance, 4(na), 115-130. Files(Open New Window)
  • Chou, Ray Yeutien, Jie-Haun Lee and Chun-Chou Wu (2002), "The Effect of Futures Introduction on Market Volatility and Information Transmission (in Chinese) ," Journal of Financial Studies, 10(na), 1-22.
  • Chen, Yi-Ting, Ray Yeutien Chou and Chung-Ming Kuan(2000), "Testing time reversibility without moment restrictions," Journal of Econometrics, 95(1), 199-218. Files(Open New Window)
  • Chang, Eric, Ray Yeutien Chou and Edward Nelling(2000), "Market Volatility and the Demand for Hedging in Stock Index Futures," Journal of Futures Markets, 20(2), 105-125.
  • Chou, Ray Yeutien, Jin-Long Lin and Chung-Su Wu(1999), "Market Volatility and the Demand for Hedging in Stock Index Futures," Pacific Economic Review, 4(3), 305-320.
  • Bollerslev, Tim, Ray Yeutien Chou and Kenneth Kroner(1998), "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence ," in Robert Jarrow (ed.), Volatility: New Techniques for Pricing Derivatives and Managing Financial Portfolios, na(na), 59-93. Published by RISK. (This paper originally appeared in Journal of Econometrics, 52(1-2), 5-59, 1992) .
  • Ray Yeutien Chou and Richard Cebula (1996), "Determinants of Geographic Differentials in the Savings and Loan Failure Rate - A Heteroskedastic TOBIT Estimation," Journal of Financial Services Research, 10(1), 5-25.
  • Chou, Ray Yeutien, Robert Engle and Alex Kane(1992), "Measuring Risk Aversion from Excess Returns on A Stock Index," Journal of Econometrics, 52(na), 201-224. Files(Open New Window)
  • Chou, Ray Yeutien(1988), "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH," Journal of Applied Econometrics, 3(na), 279-294.
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