Access Statistics for Yudong Wang

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Forecasting Stock Returns: A Predictor-Constrained Approach 0 0 0 33 2 3 23 153
Forecasting Stock Returns: A Predictor-Constrained Approach 0 0 2 42 0 1 22 74
Total Working Papers 0 0 2 75 2 4 45 227


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A copula–multifractal volatility hedging model for CSI 300 index futures 0 0 0 11 0 0 1 95
A nonparametric approach to test for predictability 0 0 0 8 0 0 1 33
Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis 0 1 4 74 0 1 7 288
Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality 0 0 0 22 0 0 1 147
Analysis of market efficiency for the Shanghai stock market over time 0 1 2 23 0 1 5 107
Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis 0 0 0 22 0 1 4 79
Analysis of the efficiency of the Shanghai stock market: A volatility perspective 0 0 0 8 0 2 5 51
Are crude oil spot and futures prices cointegrated? Not always! 0 1 2 38 0 3 8 168
Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective 0 0 0 4 0 0 0 47
Can GARCH-class models capture long memory in WTI crude oil markets? 0 0 1 57 0 0 3 210
Can commodity prices forecast exchange rates? 0 0 9 25 3 4 26 96
Commodity price changes and the predictability of economic policy uncertainty 0 0 1 46 0 2 6 187
Cross-correlations between Chinese A-share and B-share markets 0 0 0 21 0 0 0 90
Cross-correlations between spot and futures markets of nonferrous metals 0 0 0 12 0 0 0 42
Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging 0 0 2 22 0 0 6 122
Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil 0 0 0 12 0 0 2 86
Disentangling the determinants of real oil prices 0 1 3 25 0 1 6 100
Dynamic portfolio allocation with time-varying jump risk 0 0 1 20 2 2 7 63
Economic-environmental equilibrium-based bi-level dispatch strategy towards integrated electricity and natural gas systems 0 0 1 5 1 2 5 15
Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis 0 0 0 23 0 0 6 92
Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis 1 1 8 90 1 1 8 288
Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries 1 1 5 11 4 5 15 34
Forecasting Bitcoin volatility: A new insight from the threshold regression model 0 0 9 14 1 2 17 24
Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model 0 1 7 29 1 10 34 169
Forecasting US stock market volatility: How to use international volatility information 0 0 0 3 0 3 6 19
Forecasting aggregate market volatility: The role of good and bad uncertainties 0 0 2 6 2 2 7 20
Forecasting commodity prices out-of-sample: Can technical indicators help? 8 11 17 40 19 31 58 154
Forecasting crude oil market returns: Enhanced moving average technical indicators 1 2 4 4 2 4 9 9
Forecasting crude oil market volatility using variable selection and common factor 1 2 4 4 2 4 7 7
Forecasting crude oil market volatility: A Markov switching multifractal volatility approach 0 1 2 43 2 10 29 198
Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility 0 1 1 1 3 4 5 5
Forecasting crude oil market volatility: Further evidence using GARCH-class models 2 4 7 186 4 8 22 542
Forecasting crude oil price returns: Can nonlinearity help? 0 0 0 0 0 0 0 0
Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? 2 5 21 46 2 10 54 149
Forecasting crude oil prices: A scaled PCA approach 0 1 29 40 1 7 77 114
Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? 0 0 7 158 2 4 22 524
Forecasting excess stock returns with crude oil market data 0 0 0 31 0 0 1 140
Forecasting realized volatility in a changing world: A dynamic model averaging approach 2 4 8 51 4 7 24 186
Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach 0 0 2 3 0 0 6 10
Forecasting stock returns: A predictor-constrained approach 1 1 1 7 1 2 6 40
Forecasting stock returns: A time-dependent weighted least squares approach 0 0 10 25 0 2 29 93
Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error 0 4 4 4 1 6 6 6
Forecasting the real prices of crude oil under economic and statistical constraints 0 0 2 21 5 13 32 137
Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models 0 0 1 24 0 1 5 106
Forecasting the real prices of crude oil using robust regression models with regularization constraints 0 1 3 14 1 2 13 66
Forecasting the real prices of crude oil: A robust weighted least squares approach 0 0 1 1 0 0 5 5
Forecasting the real prices of crude oil: What is the role of parameter instability? 0 1 4 4 0 3 9 9
Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks 0 0 1 8 0 0 5 19
Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks 0 0 0 5 0 0 0 38
Geopolitical risk trends and crude oil price predictability 2 3 7 7 4 7 13 13
Good oil volatility, bad oil volatility, and stock return predictability 0 0 2 2 0 1 7 7
Good volatility, bad volatility, and time series return predictability 1 1 4 4 1 2 9 9
Hedging crude oil using refined product: A regime switching asymmetric DCC approach 0 0 1 17 1 1 3 88
Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? 0 4 12 69 3 8 28 183
Heterogeneous beliefs and aggregate market volatility revisited: New evidence from China 0 0 0 4 1 1 2 15
How does corporate investment react to oil prices changes? Evidence from China 1 2 11 17 3 9 26 45
Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model 0 1 5 18 1 5 9 37
Industry equi-correlation: A powerful predictor of stock returns 0 0 2 21 0 0 8 53
Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent 0 0 2 2 1 1 9 9
Information transmission between gold and financial assets: Mean, volatility, or risk spillovers? 0 0 2 4 0 2 6 22
Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism 0 1 2 5 0 1 4 22
Investor attention and oil market volatility: Does economic policy uncertainty matter? 0 0 2 7 0 1 11 37
Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis 0 0 0 57 0 0 0 199
It's not that important: The negligible effect of oil market uncertainty 0 0 0 5 0 0 1 40
Limited attention of individual investors and stock performance: Evidence from the ChiNext market 0 0 1 16 1 1 4 64
Long memory in energy futures markets: Further evidence 0 0 0 15 0 0 0 92
Macroeconomic fundamentals, jump dynamics and expected volatility 0 0 0 3 0 1 3 16
Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model 0 0 1 3 1 3 5 10
Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression 0 3 10 10 0 4 13 14
Managerial ability and idiosyncratic volatility 0 0 1 2 1 2 10 12
Momentum of return predictability 0 1 6 49 1 2 16 205
Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis 0 0 0 11 0 0 0 78
Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis 0 0 1 10 0 0 1 43
Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets 0 0 0 5 0 0 0 34
Multifractal detrending moving average analysis on the US Dollar exchange rates 1 1 2 17 1 1 3 89
Oil and the short-term predictability of stock return volatility 0 0 3 27 1 1 14 115
Oil implied volatility and expected stock returns along the worldwide supply chain 0 2 2 2 0 2 2 2
Oil price increases and the predictability of equity premium 0 2 5 23 0 3 15 97
Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions 1 2 10 31 5 7 37 111
Oil price shocks and U.S. dollar exchange rates 1 2 8 84 1 3 16 208
Oil price shocks and agricultural commodity prices 0 4 15 168 4 15 39 490
Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries 4 7 19 386 7 18 60 1,061
Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model 1 1 12 83 2 2 32 262
Oil volatility risk and stock market volatility predictability: Evidence from G7 countries 0 0 2 20 0 2 5 105
Predictability of crude oil prices: An investor perspective 0 0 3 7 2 3 12 72
Realized bipower variation, jump components, and option valuation 0 0 5 7 3 4 11 22
Realized skewness and the short-term predictability for aggregate stock market volatility 0 2 6 7 0 3 16 21
Revisiting the multifractality in stock returns and its modeling implications 0 0 0 8 0 0 0 34
Risk spillovers between oil and stock markets: A VAR for VaR analysis 0 1 3 19 0 5 13 100
Shrinking return forecasts 0 0 2 2 0 0 4 4
The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model 0 0 4 5 0 0 9 15
The dynamic spillover between carbon and energy markets: New evidence 0 0 3 23 0 2 10 75
The effects of oil shocks on export duration of China 0 0 0 5 0 0 3 36
The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach 0 0 0 4 0 0 2 56
Time‐Varying Parameter Realized Volatility Models 0 0 0 15 3 10 33 103
To jump or not to jump: momentum of jumps in crude oil price volatility prediction 0 0 4 4 0 1 10 10
Uncertainty and the predictability of stock returns 1 1 4 4 2 2 10 10
Understanding the multifractality in portfolio excess returns 0 0 1 7 0 0 1 27
Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications 1 1 5 6 1 1 6 10
Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model 1 1 1 7 1 1 4 33
Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective 0 0 4 28 0 3 11 126
What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications 0 0 2 20 0 0 5 125
What can we learn from the return predictability over the business cycle? 0 0 2 4 0 1 6 15
What the investors need to know about forecasting oil futures return volatility 0 0 0 11 0 0 0 83
Total Journal Articles 34 88 385 2,748 116 302 1,187 10,093


Statistics updated 2023-05-07