Publications

by alumni of

Renmin University of China → School of Finance

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

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| Working papers | Journal articles |

Working papers

2024

1. Yu He & Zhenya Liu & Shanglin Lu & Ran Wei, 2024, "Measuring Firm-Level Manager Risk Perception," Post-Print, HAL, number hal-04889065, DOI: 10.1016/j.frl.2024.106130.
   
   • He, Yu & Liu, Zhenya & Lu, Shanglin & Wei, Ran, 2024, "Measuring firm-level manager risk perception," Finance Research Letters, Elsevier, volume 69, issue PB, DOI: 10.1016/j.frl.2024.106130.

2022

1. Lajos Horváth & Zhenya Liu & Shanglin Lu, 2022, "Sequential monitoring of changes in dynamic linear models, applied to the US housing market," Post-Print, HAL, number hal-03323683, DOI: 10.1017/S0266466621000104.
   
   • Horváth, Lajos & Liu, Zhenya & Lu, Shanglin, 2022, "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Econometric Theory, Cambridge University Press, volume 38, issue 2, pages 209-272, April.
   • Lajos Horváth & Zhenya Liu & Shanglin Lu, 2021, "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Post-Print, HAL, number hal-03511409, DOI: 10.1017/S0266466621000104.

2021

1. Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021, "Trading signal, functional data analysis and time series momentum," Post-Print, HAL, number hal-03323675, Oct, DOI: 10.1016/j.frl.2021.101933.
   
   • Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021, "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101933.
2. Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021, "Asymmetry, tail risk and time series momentum," Post-Print, HAL, number hal-03511436, Nov, DOI: 10.1016/j.irfa.2021.101938.
   
   • Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021, "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101938.

2020

1. Lajos Horv'ath & Zhenya Liu & Shanglin Lu, 2020, "Sequential Monitoring of Changes in Housing Prices," Papers, arXiv.org, number 2002.04101, Feb.

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Journal articles

2024

1. He, Yu & Lu, Shanglin & Wei, Ran & Wang, Shixuan, 2024, "Local media sentiment towards pollution and its effect on corporate green innovation," International Review of Financial Analysis, Elsevier, volume 94, issue C, DOI: 10.1016/j.irfa.2024.103332.
2. He, Yu & Liu, Zhenya & Lu, Shanglin & Wei, Ran, 2024, "Measuring firm-level manager risk perception," Finance Research Letters, Elsevier, volume 69, issue PB, DOI: 10.1016/j.frl.2024.106130.
   
   • Yu He & Zhenya Liu & Shanglin Lu & Ran Wei, 2024, "Measuring Firm-Level Manager Risk Perception," Post-Print, HAL, number hal-04889065, DOI: 10.1016/j.frl.2024.106130.
3. Lajos Horváth & Piotr Kokoszka & Shanglin Lu, 2024, "Variable Selection Based Testing for Parameter Changes in Regression with Autoregressive Dependence," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 42, issue 4, pages 1331-1343, October, DOI: 10.1080/07350015.2024.2310025.

2023

1. Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023, "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, volume 72, issue C, pages 54-77, DOI: 10.1016/j.jempfin.2023.03.001.

2022

1. Horváth, Lajos & Liu, Zhenya & Lu, Shanglin, 2022, "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Econometric Theory, Cambridge University Press, volume 38, issue 2, pages 209-272, April.
   
   • Lajos Horváth & Zhenya Liu & Shanglin Lu, 2022, "Sequential monitoring of changes in dynamic linear models, applied to the US housing market," Post-Print, HAL, number hal-03323683, DOI: 10.1017/S0266466621000104.
   • Lajos Horváth & Zhenya Liu & Shanglin Lu, 2021, "Sequential Monitoring Of Changes In Dynamic Linear Models, Applied To The U.S. Housing Market," Post-Print, HAL, number hal-03511409, DOI: 10.1017/S0266466621000104.

2021

1. Liu, Zhenya & Lu, Shanglin & Wang, Shixuan, 2021, "Asymmetry, tail risk and time series momentum," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101938.
   
   • Zhenya Liu & Shanglin Lu & Shixuan Wang, 2021, "Asymmetry, tail risk and time series momentum," Post-Print, HAL, number hal-03511436, Nov, DOI: 10.1016/j.irfa.2021.101938.
2. Boubaker, Sabri & Liu, Zhenya & Lu, Shanglin & Zhang, Yifan, 2021, "Trading signal, functional data analysis and time series momentum," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101933.
   
   • Sabri Boubaker & Zhenya Liu & Shanglin Lu & Yifan Zhang, 2021, "Trading signal, functional data analysis and time series momentum," Post-Print, HAL, number hal-03323675, Oct, DOI: 10.1016/j.frl.2021.101933.

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