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 1 43 1 2 5 79
Forecasting Stock Returns: A Predictor-Constrained Approach 0 0 3 36 0 2 8 161
Total Working Papers 0 0 4 79 1 4 13 240


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 0 95
A nonparametric approach to test for predictability 0 0 0 8 0 0 0 33
Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis 0 0 3 77 0 0 6 294
Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality 0 0 0 22 1 2 5 152
Analysis of market efficiency for the Shanghai stock market over time 0 0 1 24 0 0 2 109
Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis 0 0 0 22 0 1 2 81
Analysis of the efficiency of the Shanghai stock market: A volatility perspective 0 0 1 9 0 0 2 53
Are crude oil spot and futures prices cointegrated? Not always! 1 1 2 40 1 1 2 170
Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective 0 0 3 3 2 4 8 8
Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective 0 0 0 4 0 0 1 48
Can GARCH-class models capture long memory in WTI crude oil markets? 0 0 0 57 0 0 0 210
Can commodity prices forecast exchange rates? 0 0 3 28 0 0 6 102
Climate risk exposure and the cross-section of Chinese stock returns 0 0 2 2 0 3 8 8
Cloud cover and expected oil returns 0 0 0 0 0 0 1 1
Commodity price changes and the predictability of economic policy uncertainty 1 1 3 49 1 1 4 191
Cross-correlations between Chinese A-share and B-share markets 0 1 1 22 0 1 1 91
Cross-correlations between spot and futures markets of nonferrous metals 0 0 0 12 0 0 1 43
Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging 0 0 0 22 0 0 1 123
Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil 0 0 0 12 0 0 0 86
Disentangling the determinants of real oil prices 1 1 1 26 2 3 5 105
Dynamic portfolio allocation with time-varying jump risk 1 1 3 23 1 2 11 74
Economic-environmental equilibrium-based bi-level dispatch strategy towards integrated electricity and natural gas systems 0 0 2 7 0 0 2 17
Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis 0 0 0 23 1 1 2 94
Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis 1 1 2 92 2 2 7 295
Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries 0 0 2 13 0 0 5 39
Eye in outer space: satellite imageries of container ports can predict world stock returns 1 8 12 12 2 21 32 32
Forecasting Bitcoin volatility: A new insight from the threshold regression model 0 1 1 15 0 1 4 28
Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model 1 1 2 31 1 1 14 183
Forecasting US stock market volatility: How to use international volatility information 0 0 2 5 0 0 5 24
Forecasting aggregate market volatility: The role of good and bad uncertainties 0 0 0 6 0 1 1 21
Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index 1 1 3 3 1 1 6 6
Forecasting commodity prices out-of-sample: Can technical indicators help? 1 4 16 56 1 5 38 192
Forecasting crude oil futures market returns: A principal component analysis combination approach 0 1 3 3 0 2 10 13
Forecasting crude oil market returns: Enhanced moving average technical indicators 0 0 5 9 0 0 7 16
Forecasting crude oil market volatility using variable selection and common factor 0 2 7 11 0 2 14 21
Forecasting crude oil market volatility: A Markov switching multifractal volatility approach 0 0 0 43 0 2 13 211
Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility 0 0 1 2 1 1 7 12
Forecasting crude oil market volatility: Further evidence using GARCH-class models 0 1 3 189 0 3 12 554
Forecasting crude oil price returns: Can nonlinearity help? 0 0 1 1 0 0 3 3
Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors? 1 2 11 57 1 4 22 171
Forecasting crude oil prices: A reduced-rank approach 0 0 0 0 0 0 2 2
Forecasting crude oil prices: A scaled PCA approach 1 2 10 50 3 9 38 152
Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models? 2 4 13 171 2 5 27 551
Forecasting excess stock returns with crude oil market data 0 1 2 33 0 1 3 143
Forecasting realized volatility in a changing world: A dynamic model averaging approach 1 2 4 55 2 3 11 197
Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach 0 0 0 3 1 1 6 16
Forecasting stock market realized volatility: the role of global terrorist attacks 0 0 1 1 0 0 4 4
Forecasting stock market volatility: The sum of the parts is more than the whole 2 2 6 6 4 6 17 17
Forecasting stock returns: A predictor-constrained approach 0 1 2 9 2 4 7 47
Forecasting stock returns: A time-dependent weighted least squares approach 1 6 11 36 4 10 25 118
Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error 0 0 0 4 0 0 3 9
Forecasting the real prices of crude oil under economic and statistical constraints 0 0 0 21 0 0 10 147
Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models 0 0 2 26 1 1 3 109
Forecasting the real prices of crude oil using robust regression models with regularization constraints 0 0 5 19 0 1 11 77
Forecasting the real prices of crude oil: A robust weighted least squares approach 0 0 6 7 1 2 11 16
Forecasting the real prices of crude oil: What is the role of parameter instability? 0 0 7 11 1 1 11 20
Forecasting the stock risk premium: A new statistical constraint 0 0 1 1 1 1 3 3
Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks 0 1 1 9 0 1 2 21
Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks 0 0 1 6 0 0 3 41
Geopolitical risk trends and crude oil price predictability 0 5 17 24 0 7 46 59
Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility 2 2 4 4 2 2 9 9
Good oil volatility, bad oil volatility, and stock return predictability 0 0 2 4 0 2 8 15
Good volatility, bad volatility, and time series return predictability 0 2 3 7 0 3 4 13
Hedging crude oil using refined product: A regime switching asymmetric DCC approach 0 1 3 20 0 1 10 98
Hedging pressure momentum and the predictability of oil futures returns 0 1 5 6 1 3 12 15
Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy? 0 2 7 76 0 8 24 207
Heterogeneous beliefs and aggregate market volatility revisited: New evidence from China 0 0 1 5 0 0 1 16
How does corporate investment react to oil prices changes? Evidence from China 0 0 1 18 1 2 8 53
Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model 0 0 6 24 1 1 13 50
Industry equi-correlation: A powerful predictor of stock returns 0 0 2 23 1 1 4 57
Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent 0 1 1 3 1 4 13 22
Information transmission between gold and financial assets: Mean, volatility, or risk spillovers? 0 0 1 5 0 0 3 25
Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism 0 0 1 6 1 1 6 28
Investor attention and oil market volatility: Does economic policy uncertainty matter? 1 1 4 11 1 1 7 44
Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis 0 1 1 58 0 1 2 201
It's not that important: The negligible effect of oil market uncertainty 0 0 0 5 0 0 5 45
Limited attention of individual investors and stock performance: Evidence from the ChiNext market 1 1 2 18 1 1 7 71
Long memory in energy futures markets: Further evidence 0 0 0 15 0 0 2 94
Macroeconomic fundamentals, jump dynamics and expected volatility 0 0 1 4 0 0 3 19
Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model 0 2 4 7 1 5 10 20
Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression 0 1 1 11 0 1 6 20
Managerial ability and idiosyncratic volatility 0 1 2 4 0 4 10 22
Momentum of return predictability 0 0 3 52 1 1 7 212
Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis 0 0 0 11 0 0 2 80
Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis 0 0 0 10 0 0 0 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 0 0 0 17 0 0 1 90
Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions 0 0 3 3 0 2 12 12
Oil and the short-term predictability of stock return volatility 0 0 1 28 0 2 8 123
Oil implied volatility and expected stock returns along the worldwide supply chain 0 0 2 4 0 2 7 9
Oil price increases and the predictability of equity premium 0 1 2 25 0 2 9 106
Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions 1 1 6 37 2 6 17 128
Oil price shocks and U.S. dollar exchange rates 0 2 5 89 0 2 13 221
Oil price shocks and agricultural commodity prices 0 1 6 174 2 7 21 511
Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries 10 17 31 417 15 29 76 1,137
Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model 2 2 7 90 3 8 18 280
Oil volatility risk and stock market volatility predictability: Evidence from G7 countries 0 0 0 20 0 0 2 107
Portfolios with return and volatility prediction for the energy stock market 1 2 8 8 3 4 17 17
Predictability of crude oil prices: An investor perspective 0 0 0 7 2 2 7 79
Realized bipower variation, jump components, and option valuation 0 0 2 9 0 2 8 30
Realized skewness and the short-term predictability for aggregate stock market volatility 1 2 12 19 1 2 24 45
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 1 2 5 24 1 4 13 113
Shrinking return forecasts 0 0 0 2 0 1 1 5
The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model 0 0 1 6 0 0 5 20
The dynamic spillover between carbon and energy markets: New evidence 0 1 3 26 1 3 11 86
The effects of oil shocks on export duration of China 0 0 0 5 0 0 2 38
The predictability of iron ore futures prices: A product‐material lead–lag effect 1 1 8 8 1 1 10 10
The predictive effect of risk aversion on oil returns under different market conditions 0 0 0 0 0 0 0 0
The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach 0 0 0 4 0 0 0 56
Time‐Varying Parameter Realized Volatility Models 0 0 0 15 0 0 13 116
To jump or not to jump: momentum of jumps in crude oil price volatility prediction 0 0 0 4 0 1 6 16
Uncertainty and the predictability of stock returns 0 0 1 5 0 0 1 11
Understanding the multifractality in portfolio excess returns 0 0 0 7 0 0 0 27
Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications 0 0 2 8 0 1 7 17
Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model 0 0 4 11 0 1 7 40
Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective 1 1 1 29 2 3 7 133
What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications 0 1 1 21 0 1 1 126
What can we learn from the return predictability over the business cycle? 1 1 4 8 1 1 4 19
What the investors need to know about forecasting oil futures return volatility 0 0 0 11 0 0 1 84
Total Journal Articles 40 102 355 3,104 86 247 1,018 11,117


Statistics updated 2024-05-04