33
H index
68
i10 index
3552
Citations
Nanjing University of Science and Technology | 33 H index 68 i10 index 3552 Citations RESEARCH PRODUCTION: 129 Articles 2 Papers RESEARCH ACTIVITY: 15 years (2009 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pwa928 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Yudong Wang. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
---|---|
Working Papers / Brandeis University, Department of Economics and International Business School | 2 |
Year | Title of citing document | |
---|---|---|
2023 | Effects of Government Regulation of Diesel and Petrol Prices on GDP Growth: Evidence from China. (2023). Vespignani, Joaquin ; Hong, Haidi ; Brueckner, Markus. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-690. Full description at Econpapers || Download paper | |
2024 | Information Acquisition and Individual Investors’ Trading Behavior. (2024). Shen, Kailing ; Luo, Ronghua ; Li, Yaling. In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2023-698. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Adaptive hedging horizon and hedging performance estimation. (2023). Han, Qing ; Di, Junpeng ; Haoyu, Wang. In: Papers. RePEc:arx:papers:2302.00251. Full description at Econpapers || Download paper | |
2023 | Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach. (2023). Datta, R P. In: Papers. RePEc:arx:papers:2306.16162. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns. (2023). Chopra, Manav ; Kundu, Sukanya ; Mishra, Vivek ; Maitra, Sarit. In: Papers. RePEc:arx:papers:2309.13096. Full description at Econpapers || Download paper | |
2023 | Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation. (2023). Maitra, Sarit. In: Papers. RePEc:arx:papers:2310.01123. Full description at Econpapers || Download paper | |
2023 | Correlation structure analysis of the global agricultural futures market. (2023). Anh, Ngoc Quang ; Dai, Yun-Shi ; Zhou, Wei-Xing ; Zheng, Qing-Huan. In: Papers. RePEc:arx:papers:2310.16849. Full description at Econpapers || Download paper | |
2024 | The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2404.01641. Full description at Econpapers || Download paper | |
2023 | Toxic chemical releases and idiosyncratic return volatility: A prospect theory perspective. (2023). Zaman, Rashid ; Nadeem, Muhammad ; Bahadar, Stephen. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2109-2143. Full description at Econpapers || Download paper | |
2024 | The fatter the tail, the shorter the sail. (2024). Chaudhry, Sajid ; Alzugaiby, Basim ; Alsunbul, Saad ; Boujlil, Rhada. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:331-380. Full description at Econpapers || Download paper | |
2023 | Will climate change jeopardize the Vietnamese target of maintaining farmland for food security? A fractional multinomial logit analysis of land use choice. (2023). Scrimgeour, Frank ; Chau, Trinh Nguyen. In: Agricultural Economics. RePEc:bla:agecon:v:54:y:2023:i:4:p:570-587. Full description at Econpapers || Download paper | |
2023 | The impact of world oil price shocks on macroeconomic variables in Vietnam: the transmission through domestic oil price. (2023). , Bui. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:37:y:2023:i:1:p:67-87. Full description at Econpapers || Download paper | |
2023 | Predicting stock realized variance based on an asymmetric robust regression approach. (2023). He, Mengxi ; Zhang, Yaojie ; Hao, Xianfeng ; Zhao, Yuqi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1022-1047. Full description at Econpapers || Download paper | |
2023 | S&P 500 volatility, volatility regimes, and economic uncertainty. (2023). Chatrath, Arjun ; Adrangi, Bahram ; Raffiee, Kambiz. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:75:y:2023:i:4:p:1362-1387. Full description at Econpapers || Download paper | |
2024 | New evidence on crude oil market efficiency. (2024). Lee, Yoonjin ; Hu, Liang. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916. Full description at Econpapers || Download paper | |
2024 | Trade credit and corporate digital transformation: The role of managerial ability. (2024). Huang, Heshu ; Yarovaya, Larisa ; Wang, Caiting. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:3:p:779-806. Full description at Econpapers || Download paper | |
2024 | Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Liang, Chao ; Wang, LU. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80. Full description at Econpapers || Download paper | |
2023 | Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high?frequency data†. (2022). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:69:y:2022:i:2:p:169-185. Full description at Econpapers || Download paper | |
2024 | The Dynamics of Financial and Macroeconomic Determinants in Natural Gas and Crude Oil Markets: Evidence from Organization for Economic Cooperation and Development/Gulf Cooperation Council/Organization. (2017). Karacaer-Ulusoy, Merve ; Kapusuzoglu, Ayhan . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-03-21. Full description at Econpapers || Download paper | |
2023 | Impact of Oil Factor on Investment: The Case of Azerbaijan. (2023). Hajiyev, Natig Gadim-Oglu ; Huseyn, Afag ; Humbatova, Sugra. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-14. Full description at Econpapers || Download paper | |
2023 | The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models. (2023). Catik, Nazif A ; Helmi, Mohamad Husam ; Akdeniz, Coskun ; Huyuguzel, Gul Serife ; Kosedagli, Begum Yurteri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-45. Full description at Econpapers || Download paper | |
2023 | Oil Shocks, Monetary Policy, and Stock Returns: A Case of Oil-based Economy. (2023). , Abdullah. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-06-7. Full description at Econpapers || Download paper | |
2023 | TLIA: Time-series forecasting model using long short-term memory integrated with artificial neural networks for volatile energy markets. (2023). Ewees, Ahmed A ; Elaziz, Mohamed Abd ; Aseeri, Ahmad O ; Cai, Zhihua ; Alrassas, Ayman Mutahar ; Al-Alimi, Dalal. In: Applied Energy. RePEc:eee:appene:v:343:y:2023:i:c:s0306261923005949. Full description at Econpapers || Download paper | |
2024 | Decomposition prediction fractional-order PID reinforcement learning for short-term smart generation control of integrated energy systems. (2024). Zheng, DA ; Yin, Linfei. In: Applied Energy. RePEc:eee:appene:v:355:y:2024:i:c:s0306261923016100. Full description at Econpapers || Download paper | |
2024 | TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes. (2024). Sakarya, Burhan ; Erturul, Hasan Murat ; Polat, Onur ; Akgul, Ali. In: Applied Energy. RePEc:eee:appene:v:357:y:2024:i:c:s0306261923018512. Full description at Econpapers || Download paper | |
2024 | Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592. Full description at Econpapers || Download paper | |
2024 | Levelized cost of electricity in renewable energy communities: Uncertainty propagation analysis. (2024). De-Simon, Miguel ; Delfino, Federico ; Bracco, Stefano ; Pagnini, Luisa. In: Applied Energy. RePEc:eee:appene:v:366:y:2024:i:c:s0306261924006615. Full description at Econpapers || Download paper | |
2023 | Active attention, retail investor base, and stock returns. (2023). Craig, Karen Ann ; Chen, Zhongdong. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000345. Full description at Econpapers || Download paper | |
2023 | Reconstruction of international energy trade networks with given marginal data: A comparative analysis. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Wang, Zhi-Yuan ; Xu, Hai-Chuan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:167:y:2023:i:c:s0960077922012103. Full description at Econpapers || Download paper | |
2023 | Return and volatility connectedness between gold and energy markets: Evidence from the pre- and post-COVID vaccination phases. (2023). Jareo, Francisco ; Yousaf, Imran ; Arfaoui, Nadia. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:617-634. Full description at Econpapers || Download paper | |
2023 | Cash holdings and cash flows: Do oil price uncertainty and geopolitical risk matter?. (2023). Indra, Muhammad Yusuf ; Thinh, Bui Tien ; Wang, Chih-Wei ; Lee, Chien-Chiang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:134-152. Full description at Econpapers || Download paper | |
2023 | Currency portfolio behavior in seven major Asian markets. (2023). Lin, Chinho ; Chang, Hao-Wen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559. Full description at Econpapers || Download paper | |
2023 | Risk transmission of El Niño-induced climate change to regional Green Economy Index. (2023). Wang, LU ; Yu, Sixin ; Li, Yan ; Zhang, LI. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:860-872. Full description at Econpapers || Download paper | |
2023 | Exchange rate volatility predictability: A new insight from climate policy uncertainty. (2023). Umar, Muhammad ; Liang, Chao ; Pan, Zhigang ; Peng, Lijuan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:688-700. Full description at Econpapers || Download paper | |
2024 | Climate change and economic policy uncertainty: Evidence from major countries around the world. (2024). Wang, KE ; Su, Zhi ; Lan, Minghui ; Liu, Lingxi ; Zhang, Yongji. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1045-1060. Full description at Econpapers || Download paper | |
2024 | Risk spillover within the carbon-energy system – New evidence considering Chinas national carbon market. (2024). Liu, Xiaoxing ; Yang, Guangyi ; Tang, Chun. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1227-1240. Full description at Econpapers || Download paper | |
2023 | On the identification of the oil-stock market relationship. (2023). Panagiotidis, Theodore ; Arampatzidis, Ioannis. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003947. Full description at Econpapers || Download paper | |
2023 | Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper | |
2024 | Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019. Full description at Econpapers || Download paper | |
2023 | Forecasting stock return volatility in data-rich environment: A new powerful predictor. (2023). Li, Tingyu ; Zhang, Xiaotong ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001802. Full description at Econpapers || Download paper | |
2023 | Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086. Full description at Econpapers || Download paper | |
2023 | Forecasting the realized volatility of Energy Stock Market: A multimodel comparison. (2023). Guo, Lili ; Su, Mengying ; Li, Junwen ; Hu, Jiayu ; Zhou, Deheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000189. Full description at Econpapers || Download paper | |
2023 | The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches. (2023). Mo, Bin ; Ao, Zhiming ; Jiang, Yonghong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000281. Full description at Econpapers || Download paper | |
2023 | Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic. (2023). Yoon, Seong-Min ; Choi, Ki-Hong ; Vo, Xuan Vinh ; Hanif, Waqas ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000487. Full description at Econpapers || Download paper | |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper | |
2023 | Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective. (2023). Yin, Zhujia ; Yang, Xin ; Chen, Jiaqi ; Sun, Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000645. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach. (2023). Iqbal, Najaf ; Umar, Zaghum ; Yin, Xuebao ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000712. Full description at Econpapers || Download paper | |
2024 | Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N ; Wohar, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250. Full description at Econpapers || Download paper | |
2024 | Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries. (2024). Li, Shuang ; Ye, Fangyu ; Huang, XI ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001857. Full description at Econpapers || Download paper | |
2024 | International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models. (2024). Wang, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001882. Full description at Econpapers || Download paper | |
2024 | Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664. Full description at Econpapers || Download paper | |
2024 | Network-Based prediction of financial cross-sector risk spillover in China: A deep learning approach. (2024). Wang, Haosen ; Xu, Wei ; Tang, Pan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000767. Full description at Econpapers || Download paper | |
2023 | Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744. Full description at Econpapers || Download paper | |
2023 | Optimal model averaging based on forward-validation. (2023). Zhang, Xiaomeng. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762200094x. Full description at Econpapers || Download paper | |
2023 | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831. Full description at Econpapers || Download paper | |
2023 | Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493. Full description at Econpapers || Download paper | |
2024 | A data-driven approach for optimal operational and financial commodity hedging. (2024). Minner, Stefan ; Mandl, Christian ; Rettinger, Moritz. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:1:p:341-360. Full description at Econpapers || Download paper | |
2023 | A machine learning approach for comparing the largest firm effect. (2023). Fabozzi, Frank J ; Kang, Taehyeon ; Han, Jiwoon ; Ho, Jang. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001121. Full description at Econpapers || Download paper | |
2023 | Board generational diversity in emerging markets. (2023). Iwasaki, Ichiro ; Mizobata, Satoshi ; Ma, Xinxin. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000341. Full description at Econpapers || Download paper | |
2023 | Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226. Full description at Econpapers || Download paper | |
2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper | |
2023 | Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271. Full description at Econpapers || Download paper | |
2023 | Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993. Full description at Econpapers || Download paper | |
2024 | An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305. Full description at Econpapers || Download paper | |
2023 | Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?. (2023). Chevallier, Julien ; Ma, Feng ; Tan, Xueping ; Guo, Xiaozhu ; Wang, Jiqian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005485. Full description at Econpapers || Download paper | |
2023 | The nexus between oil and airline stock returns: Does time frequency matter?. (2023). Brooks, Robert ; Do, Hung Xuan ; Pham, Son D ; Asadi, Mehrad. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005734. Full description at Econpapers || Download paper | |
2023 | An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965. Full description at Econpapers || Download paper | |
2023 | On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility. (2023). LE, Thai-Ha ; Park, Donghyun ; Bui, Manh Tien ; Boubaker, Sabri. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s014098832200603x. Full description at Econpapers || Download paper | |
2023 | Does environmental pollution liability insurance promote environmental performance? Firm-level evidence from quasi-natural experiment in China. (2023). Lyu, Chaofeng ; Sun, Chuanwang ; Chen, KE ; Zhu, Dandan. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006223. Full description at Econpapers || Download paper | |
2023 | Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis. (2023). Yin, Zhujia ; Zhang, Xiaotong ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000099. Full description at Econpapers || Download paper | |
2023 | Does oil price uncertainty affect corporate innovation?. (2023). Aktas, Elvan ; Wang, Xinyu ; Amin, Md Ruhul. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000117. Full description at Econpapers || Download paper | |
2023 | Multi-perspective investor attention and oil futures volatility forecasting. (2023). Li, Guo ; Qu, Hui. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000294. Full description at Econpapers || Download paper | |
2023 | Predicting energy futures high-frequency volatility using technical indicators: The role of interaction. (2023). Zhang, Yue ; Ye, Xin ; Gong, Xue. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000312. Full description at Econpapers || Download paper | |
2023 | The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609. Full description at Econpapers || Download paper | |
2023 | Forecasting the volatility of precious metals prices with global economic policy uncertainty in pre and during the COVID-19 period: Novel evidence from the GARCH-MIDAS approach. (2023). Urom, Christian ; Benkraiem, Ramzi ; Masood, Amna ; Raza, Syed Ali. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000890. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2022 | Shrinking return forecasts In: The Financial Review. [Full Text][Citation analysis] | article | 2 |
2017 | Forecasting Stock Returns: A Predictor-Constrained Approach In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
2018 | Forecasting Stock Returns: A Predictor-Constrained Approach.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2020 | Forecasting stock returns: A predictor-constrained approach.(2020) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
2021 | Economic-environmental equilibrium-based bi-level dispatch strategy towards integrated electricity and natural gas systems In: Applied Energy. [Full Text][Citation analysis] | article | 14 |
2021 | The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model In: Journal of Asian Economics. [Full Text][Citation analysis] | article | 0 |
2021 | Realized skewness and the short-term predictability for aggregate stock market volatility In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
2023 | Hedging pressure momentum and the predictability of oil futures returns In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
2011 | Can GARCH-class models capture long memory in WTI crude oil markets? In: Economic Modelling. [Full Text][Citation analysis] | article | 36 |
2012 | What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications In: Economic Modelling. [Full Text][Citation analysis] | article | 7 |
2012 | Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis In: Economic Modelling. [Full Text][Citation analysis] | article | 61 |
2013 | Are crude oil spot and futures prices cointegrated? Not always! In: Economic Modelling. [Full Text][Citation analysis] | article | 22 |
2015 | Limited attention of individual investors and stock performance: Evidence from the ChiNext market In: Economic Modelling. [Full Text][Citation analysis] | article | 37 |
2021 | Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism In: Economic Modelling. [Full Text][Citation analysis] | article | 8 |
2015 | Commodity price changes and the predictability of economic policy uncertainty In: Economics Letters. [Full Text][Citation analysis] | article | 56 |
2016 | A nonparametric approach to test for predictability In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
2017 | Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 112 |
2018 | Momentum of return predictability In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 25 |
2018 | Oil and the short-term predictability of stock return volatility In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 81 |
2019 | Dynamic portfolio allocation with time-varying jump risk In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 13 |
2019 | Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 123 |
2020 | Industry equi-correlation: A powerful predictor of stock returns In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
2022 | Oil implied volatility and expected stock returns along the worldwide supply chain In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
2022 | Forecasting the real prices of crude oil: A robust weighted least squares approach In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2023 | Forecasting the real prices of crude oil: What is the role of parameter instability? In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2023 | The predictive effect of risk aversion on oil returns under different market conditions In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2024 | Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2024 | Exploiting the sentiments: A simple approach for improving cross hedging effectiveness In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2024 | Forecasting oil futures returns with news In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2010 | Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis In: Energy Economics. [Full Text][Citation analysis] | article | 85 |
2010 | Forecasting crude oil market volatility: Further evidence using GARCH-class models In: Energy Economics. [Full Text][Citation analysis] | article | 210 |
2012 | Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? In: Energy Economics. [Full Text][Citation analysis] | article | 104 |
2014 | Oil price shocks and agricultural commodity prices In: Energy Economics. [Full Text][Citation analysis] | article | 132 |
2014 | Hedging crude oil using refined product: A regime switching asymmetric DCC approach In: Energy Economics. [Full Text][Citation analysis] | article | 42 |
2015 | Forecasting excess stock returns with crude oil market data In: Energy Economics. [Full Text][Citation analysis] | article | 40 |
2015 | Forecasting the real prices of crude oil under economic and statistical constraints In: Energy Economics. [Full Text][Citation analysis] | article | 32 |
2016 | Disentangling the determinants of real oil prices In: Energy Economics. [Full Text][Citation analysis] | article | 41 |
2016 | The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach In: Energy Economics. [Full Text][Citation analysis] | article | 24 |
2016 | What the investors need to know about forecasting oil futures return volatility In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
2017 | Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models In: Energy Economics. [Full Text][Citation analysis] | article | 43 |
2017 | Oil volatility risk and stock market volatility predictability: Evidence from G7 countries In: Energy Economics. [Full Text][Citation analysis] | article | 32 |
2018 | Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model In: Energy Economics. [Full Text][Citation analysis] | article | 9 |
2018 | Predictability of crude oil prices: An investor perspective In: Energy Economics. [Full Text][Citation analysis] | article | 11 |
2019 | Risk spillovers between oil and stock markets: A VAR for VaR analysis In: Energy Economics. [Full Text][Citation analysis] | article | 54 |
2019 | Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective In: Energy Economics. [Full Text][Citation analysis] | article | 89 |
2020 | Forecasting the real prices of crude oil using robust regression models with regularization constraints In: Energy Economics. [Full Text][Citation analysis] | article | 14 |
2020 | Can commodity prices forecast exchange rates? In: Energy Economics. [Full Text][Citation analysis] | article | 13 |
2021 | Investor attention and oil market volatility: Does economic policy uncertainty matter? In: Energy Economics. [Full Text][Citation analysis] | article | 27 |
2021 | Forecasting crude oil prices: A scaled PCA approach In: Energy Economics. [Full Text][Citation analysis] | article | 40 |
2021 | How does corporate investment react to oil prices changes? Evidence from China In: Energy Economics. [Full Text][Citation analysis] | article | 11 |
2016 | Oil price shocks and U.S. dollar exchange rates In: Energy. [Full Text][Citation analysis] | article | 35 |
2017 | The effects of oil shocks on export duration of China In: Energy. [Full Text][Citation analysis] | article | 4 |
2018 | The dynamic spillover between carbon and energy markets: New evidence In: Energy. [Full Text][Citation analysis] | article | 108 |
2019 | Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks In: Energy. [Full Text][Citation analysis] | article | 14 |
2020 | Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries In: Energy. [Full Text][Citation analysis] | article | 24 |
2022 | Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression In: Energy. [Full Text][Citation analysis] | article | 13 |
2022 | Geopolitical risk trends and crude oil price predictability In: Energy. [Full Text][Citation analysis] | article | 32 |
2023 | Forecasting crude oil price returns: Can nonlinearity help? In: Energy. [Full Text][Citation analysis] | article | 3 |
2023 | Portfolios with return and volatility prediction for the energy stock market In: Energy. [Full Text][Citation analysis] | article | 1 |
2024 | Forecasting the volatility of crude oil basis: Univariate models versus multivariate models In: Energy. [Full Text][Citation analysis] | article | 0 |
2024 | Crude oil futures and the short-term price predictability of petroleum products In: Energy. [Full Text][Citation analysis] | article | 0 |
2009 | Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 111 |
2010 | Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 13 |
2022 | Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 28 |
2024 | Abnormal temperature and the cross-section of stock returns in China In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2023 | Forecasting stock market volatility: The sum of the parts is more than the whole In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
2023 | Climate risk exposure and the cross-section of Chinese stock returns In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
2021 | Forecasting stock returns: A time-dependent weighted least squares approach In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 3 |
2024 | Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 0 |
2016 | Forecasting crude oil market volatility: A Markov switching multifractal volatility approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 63 |
2020 | Forecasting commodity prices out-of-sample: Can technical indicators help? In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 23 |
2023 | Forecasting crude oil market volatility using variable selection and common factor In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2023 | Forecasting crude oil futures market returns: A principal component analysis combination approach In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2023 | Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 11 |
2024 | Forecasting crude oil market volatility: A comprehensive look at uncertainty variables In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2019 | Oil price increases and the predictability of equity premium In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 71 |
2016 | Forecasting realized volatility in a changing world: A dynamic model averaging approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 151 |
2013 | Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries In: Journal of Comparative Economics. [Full Text][Citation analysis] | article | 331 |
2012 | Long memory in energy futures markets: Further evidence In: Resources Policy. [Full Text][Citation analysis] | article | 22 |
2020 | Information transmission between gold and financial assets: Mean, volatility, or risk spillovers? In: Resources Policy. [Full Text][Citation analysis] | article | 15 |
2021 | Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications In: Resources Policy. [Full Text][Citation analysis] | article | 5 |
2022 | Forecasting crude oil market returns: Enhanced moving average technical indicators In: Resources Policy. [Full Text][Citation analysis] | article | 4 |
2022 | Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility In: Resources Policy. [Full Text][Citation analysis] | article | 4 |
2023 | Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions In: Resources Policy. [Full Text][Citation analysis] | article | 8 |
2023 | Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective In: Resources Policy. [Full Text][Citation analysis] | article | 9 |
2019 | Heterogeneous beliefs and aggregate market volatility revisited: New evidence from China In: Pacific-Basin Finance Journal. [Full Text][Citation analysis] | article | 7 |
2010 | Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 55 |
2010 | Cross-correlations between Chinese A-share and B-share markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 94 |
2010 | Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 15 |
2010 | Analysis of market efficiency for the Shanghai stock market over time In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 40 |
2011 | Analysis of the efficiency of the Shanghai stock market: A volatility perspective In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 10 |
2011 | Multifractal detrending moving average analysis on the US Dollar exchange rates In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 53 |
2011 | A copula–multifractal volatility hedging model for CSI 300 index futures In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 11 |
2011 | Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 83 |
2011 | Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 66 |
2014 | Cross-correlations between spot and futures markets of nonferrous metals In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 12 |
2016 | Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 23 |
2016 | Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 28 |
2017 | Understanding the multifractality in portfolio excess returns In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 7 |
2017 | Revisiting the multifractality in stock returns and its modeling implications In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 12 |
2019 | Its not that important: The negligible effect of oil market uncertainty In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 3 |
2020 | Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 17 |
2022 | Good oil volatility, bad oil volatility, and stock return predictability In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 3 |
2023 | Forecasting crude oil prices: A reduced-rank approach In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 3 |
2023 | Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 1 |
2015 | Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? In: Management Science. [Full Text][Citation analysis] | article | 53 |
2013 | Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis In: Computational Economics. [Full Text][Citation analysis] | article | 17 |
2021 | Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
2023 | Eye in outer space: satellite imageries of container ports can predict world stock returns In: Palgrave Communications. [Full Text][Citation analysis] | article | 0 |
2023 | Cloud cover and expected oil returns In: Palgrave Communications. [Full Text][Citation analysis] | article | 0 |
2024 | Modelling and forecasting crude oil price volatility with climate policy uncertainty In: Palgrave Communications. [Full Text][Citation analysis] | article | 0 |
2016 | Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging In: Empirical Economics. [Full Text][Citation analysis] | article | 33 |
2022 | To jump or not to jump: momentum of jumps in crude oil price volatility prediction In: Financial Innovation. [Full Text][Citation analysis] | article | 1 |
2022 | Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
2023 | Forecasting stock market realized volatility: the role of global terrorist attacks In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
2022 | Good volatility, bad volatility, and time series return predictability In: The European Journal of Finance. [Full Text][Citation analysis] | article | 1 |
2020 | Macroeconomic fundamentals, jump dynamics and expected volatility In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
2021 | Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
2022 | Managerial ability and idiosyncratic volatility In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 2 |
2018 | Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 22 |
2021 | What can we learn from the return predictability over the business cycle? In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2021 | Forecasting aggregate market volatility: The role of good and bad uncertainties In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2021 | Forecasting US stock market volatility: How to use international volatility information In: Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
2022 | Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
2022 | Forecasting Bitcoin volatility: A new insight from the threshold regression model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
2022 | Uncertainty and the predictability of stock returns In: Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
2023 | Forecasting the stock risk premium: A new statistical constraint In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2019 | Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 16 |
2021 | Realized bipower variation, jump components, and option valuation In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 1 |
2024 | The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
2024 | Modeling and forecasting stock return volatility using the HARGARCH model with VIX information In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team