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Publications

by members of

Nanjing University of Science and Technology → School of Economics and Management

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

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

| Working papers | Journal articles | Chapters |

Working papers

2026

  1. Langtry, A. & Taylor, S. & Zhang, Y., 2026, "Network Threshold Games," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2633, Apr.
  2. Zhang, Y., 2026, "Price Competition with Network Spillovers: Entry, Cohesiveness and Interoperability," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2634, Apr.

2017

  1. Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017, "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers, Brandeis University, Department of Economics and International Business School, number 116, Oct.

2008

  1. Zhao, Liang & Zhu, Xian Chen, 2008, "An Explanation to Individual Knowledge and Behavior Based on Empirical Substrates," MPRA Paper, University Library of Munich, Germany, number 6825, Jan.
  2. Zhao, Liang, 2008, "Rethinking basically Economic Assumption on Individual Behavior from Empirical Viewpoints of Evolution and Behavior," MPRA Paper, University Library of Munich, Germany, number 11152, Oct.

2007

  1. Zhao, Liang & Zhu, Xian Chen, 2007, "A Discussion on Empirical Micro-Bases of Hayek’s Methodological Individualism," MPRA Paper, University Library of Munich, Germany, number 3862, Jun.

Journal articles

2026

  1. Zhiyuan Pan & Yudong Wang & Juan Huang & Yaojie Zhang, 2026, "Adaptive Group LASSO for the GARCH-MIDAS Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 44, issue 2, pages 413-424, April, DOI: 10.1080/07350015.2025.2537928.
  2. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2026, "Forecasting carbon returns under structural breaks and model uncertainty: a time-weighted regularized combination approach," Quantitative Finance, Taylor & Francis Journals, volume 26, issue 2, pages 235-253, February, DOI: 10.1080/14697688.2025.2602783.

2025

  1. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2025, "Global climate policy uncertainty and carbon market volatility: Aggravating or mitigating across market conditions?," Economics Letters, Elsevier, volume 254, issue C, DOI: 10.1016/j.econlet.2025.112441.
  2. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2025, "Forecasting gasoline prices using oil prices: New evidence based on the rocket and feather hypothesis," Energy, Elsevier, volume 335, issue C, DOI: 10.1016/j.energy.2025.138115.
  3. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025, "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, volume 97, issue C, DOI: 10.1016/j.irfa.2024.103850.
  4. Hu, Shan & Zhang, Heqi & Wang, Yudong, 2025, "Does e-commerce development drive regional entrepreneurial activity? Spatial spillover effect and mechanism analysis," International Journal of Production Economics, Elsevier, volume 284, issue C, DOI: 10.1016/j.ijpe.2025.109611.
  5. Xianfeng Hao & Shujing Wang & Yudong Wang & Liangyu Wu, 2025, "Is Information Risk Priced? New Evidence from Outer Space," Management Science, INFORMS, volume 71, issue 9, pages 7707-7730, September, DOI: 10.1287/mnsc.2023.00713.
  6. Zhang, Yaojie & Zhao, Xinyi & Zhang, Zhikai, 2025, "Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns," The North American Journal of Economics and Finance, Elsevier, volume 75, issue PB, DOI: 10.1016/j.najef.2024.102321.
  7. Zhang, Yaojie & Tian, Linxing & Zhang, Zhikai, 2025, "Petroleum volatility spillover index and stock return predictability," Energy Economics, Elsevier, volume 150, issue C, DOI: 10.1016/j.eneco.2025.108850.
  8. Gong, Xue & Ji, Shidong & Zhang, Yaojie, 2025, "Attention to climate events and carbon price volatility," Finance Research Letters, Elsevier, volume 79, issue C, DOI: 10.1016/j.frl.2025.107253.
  9. Yaojie Zhang & Yuqing Feng & Chaojian Wei, 2025, "Realized skewness of oil price returns and the short-term predictability for exchange rate," Quantitative Finance, Taylor & Francis Journals, volume 25, issue 7, pages 1031-1046, July, DOI: 10.1080/14697688.2025.2522177.
  10. Likun Lei & Mengxi He & Yi Zhang & Yaojie Zhang, 2025, "Forecasting Chinese Stock Market Volatility With Volatilities in Bond Markets," Journal of Forecasting, John Wiley & Sons, Ltd., volume 44, issue 2, pages 547-555, March, DOI: 10.1002/for.3215.
  11. Yuqing Feng & Yaojie Zhang, 2025, "Forecasting Realized Volatility: The Choice of Window Size," Journal of Forecasting, John Wiley & Sons, Ltd., volume 44, issue 2, pages 692-705, March, DOI: 10.1002/for.3221.

2024

  1. Li Liu & Xianfeng Hao & Yudong Wang, 2024, "Solving the Forecast Combination Puzzle Using Double Shrinkages," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 86, issue 3, pages 714-741, June, DOI: 10.1111/obes.12590.
  2. Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie & Wang, Qunwei, 2024, "Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors," Energy Economics, Elsevier, volume 133, issue C, DOI: 10.1016/j.eneco.2024.107537.
  3. Pan, Zhiyuan & Fu, Ziqian & Wang, Yudong & Dong, Qingma, 2024, "Exploiting the sentiments: A simple approach for improving cross hedging effectiveness," Energy Economics, Elsevier, volume 134, issue C, DOI: 10.1016/j.eneco.2024.107593.
  4. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024, "Forecasting oil futures returns with news," Energy Economics, Elsevier, volume 134, issue C, DOI: 10.1016/j.eneco.2024.107606.
  5. Geng, Qianjie & Wang, Yudong, 2024, "Forecasting the volatility of crude oil basis: Univariate models versus multivariate models," Energy, Elsevier, volume 295, issue C, DOI: 10.1016/j.energy.2024.130969.
  6. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024, "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, volume 307, issue C, DOI: 10.1016/j.energy.2024.132750.
  7. Zhang, Yaojie & Song, Bingheng & He, Mengxi & Wang, Yudong, 2024, "Abnormal temperature and the cross-section of stock returns in China," International Review of Financial Analysis, Elsevier, volume 94, issue C, DOI: 10.1016/j.irfa.2024.103274.
  8. Hao, Xianfeng & Wang, Yudong & Wu, Chongfeng & Wu, Liangyu, 2024, "Oil information uncertainty and aggregate market returns: A natural experiment based on satellite data," Journal of Financial Markets, Elsevier, volume 70, issue C, DOI: 10.1016/j.finmar.2024.100913.
  9. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024, "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, volume 40, issue 3, pages 1022-1041, DOI: 10.1016/j.ijforecast.2023.09.002.
  10. Li, Kaixin & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2024, "Forecasting crude oil returns with oil-related industry ESG indices," Journal of Commodity Markets, Elsevier, volume 36, issue C, DOI: 10.1016/j.jcomm.2024.100444.
  11. Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024, "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Humanities and Social Sciences Communications, Palgrave Macmillan, volume 11, issue 1, pages 1-10, December, DOI: 10.1057/s41599-024-03561-w.
  12. Zhikai Zhang & Yaojie Zhang & Yudong Wang, 2024, "Forecasting the equity premium using weighted regressions: Does the jump variation help?," Empirical Economics, Springer, volume 66, issue 5, pages 2049-2082, May, DOI: 10.1007/s00181-023-02521-8.
  13. Qianjie Geng & Xianfeng Hao & Yudong Wang, 2024, "Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint," Journal of Forecasting, John Wiley & Sons, Ltd., volume 43, issue 2, pages 309-325, March, DOI: 10.1002/for.3036.
  14. Yuqing Feng & Yaojie Zhang & Yudong Wang, 2024, "Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?," Journal of Forecasting, John Wiley & Sons, Ltd., volume 43, issue 3, pages 567-582, April, DOI: 10.1002/for.3046.
  15. Zhikai Zhang & Yaojie Zhang & Yudong Wang & Qunwei Wang, 2024, "The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 44, issue 4, pages 557-584, April, DOI: 10.1002/fut.22482.
  16. Zhiyuan Pan & Jun Zhang & Yudong Wang & Juan Huang, 2024, "Modeling and forecasting stock return volatility using the HARGARCH model with VIX information," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 44, issue 8, pages 1383-1403, August, DOI: 10.1002/fut.22516.
  17. He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024, "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, volume 311, issue C, DOI: 10.1016/j.energy.2024.133341.
  18. Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024, "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, volume 64, issue C, DOI: 10.1016/j.frl.2024.105479.
  19. Xiao, Jihong & Jiang, Jiajie & Zhang, Yaojie, 2024, "Policy uncertainty, investor sentiment, and good and bad volatilities in the stock market: Evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 84, issue C, DOI: 10.1016/j.pacfin.2024.102303.
  20. He, Mengxi & Wen, Danyan & Xing, Lu & Zhang, Yaojie, 2024, "Industry volatility concentration and the predictability of aggregate stock market volatility," International Review of Economics & Finance, Elsevier, volume 95, issue C, DOI: 10.1016/j.iref.2024.103488.
  21. Yuqing Feng & Mengxi He & Yaojie Zhang, 2024, "Market Skewness and Stock Return Predictability: New Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 60, issue 2, pages 233-244, January, DOI: 10.1080/1540496X.2023.2217327.
  22. Yaojie Zhang & Mengxi He & Danyan Wen, 2024, "Industry volatility spillover and aggregate stock returns," The European Journal of Finance, Taylor & Francis Journals, volume 30, issue 10, pages 1097-1126, July, DOI: 10.1080/1351847X.2023.2271054.
  23. Yaojie Zhang & Qingxiang Han & Mengxi He, 2024, "Forecasting stock market returns with a lottery index: Evidence from China," Journal of Forecasting, John Wiley & Sons, Ltd., volume 43, issue 5, pages 1595-1606, August, DOI: 10.1002/for.3100.
  24. Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024, "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., volume 43, issue 7, pages 2705-2730, November, DOI: 10.1002/for.3150.

2023

  1. Yu, Dan & Chen, Chuang & Wang, Yudong & Zhang, Yaojie, 2023, "Hedging pressure momentum and the predictability of oil futures returns," Economic Modelling, Elsevier, volume 121, issue C, DOI: 10.1016/j.econmod.2023.106214.
  2. Wang, Yudong & Hao, Xianfeng, 2023, "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, volume 117, issue C, DOI: 10.1016/j.eneco.2022.106483.
  3. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023, "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, volume 126, issue C, DOI: 10.1016/j.eneco.2023.106969.
  4. Zhang, Yaojie & He, Mengxi & Wen, Danyan & Wang, Yudong, 2023, "Forecasting crude oil price returns: Can nonlinearity help?," Energy, Elsevier, volume 262, issue PB, DOI: 10.1016/j.energy.2022.125589.
  5. Ma, Yilin & Wang, Yudong & Wang, Weizhong & Zhang, Chong, 2023, "Portfolios with return and volatility prediction for the energy stock market," Energy, Elsevier, volume 270, issue C, DOI: 10.1016/j.energy.2023.126958.
  6. Gao, Shang & Zhang, Zhikai & Wang, Yudong & Zhang, Yaojie, 2023, "Forecasting stock market volatility: The sum of the parts is more than the whole," Finance Research Letters, Elsevier, volume 55, issue PA, DOI: 10.1016/j.frl.2023.103849.
  7. Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023, "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, volume 55, issue PB, DOI: 10.1016/j.frl.2023.103987.
  8. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023, "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, volume 39, issue 1, pages 486-502, DOI: 10.1016/j.ijforecast.2021.12.013.
  9. Zhang, Yaojie & Wang, Yudong, 2023, "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, volume 39, issue 2, pages 659-673, DOI: 10.1016/j.ijforecast.2022.01.010.
  10. Zhang, Yaojie & He, Mengxi & Wang, Yudong & Liang, Chao, 2023, "Global economic policy uncertainty aligned: An informative predictor for crude oil market volatility," International Journal of Forecasting, Elsevier, volume 39, issue 3, pages 1318-1332, DOI: 10.1016/j.ijforecast.2022.07.002.
  11. Zhang, Zhikai & Wang, Yudong & Xiao, Jihong & Zhang, Yaojie, 2023, "Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions," Resources Policy, Elsevier, volume 80, issue C, DOI: 10.1016/j.resourpol.2022.103238.
  12. Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023, "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, volume 83, issue C, DOI: 10.1016/j.resourpol.2023.103701.
  13. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2023, "Forecasting crude oil prices: A reduced-rank approach," International Review of Economics & Finance, Elsevier, volume 88, issue C, pages 698-711, DOI: 10.1016/j.iref.2023.07.001.
  14. He, Mengxi & Wang, Yudong & Zeng, Qing & Zhang, Yaojie, 2023, "Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index," Research in International Business and Finance, Elsevier, volume 65, issue C, DOI: 10.1016/j.ribaf.2023.101983.
  15. Honghai Yu & Xianfeng Hao & Liangyu Wu & Yuqi Zhao & Yudong Wang, 2023, "Eye in outer space: satellite imageries of container ports can predict world stock returns," Humanities and Social Sciences Communications, Palgrave Macmillan, volume 10, issue 1, pages 1-16, December, DOI: 10.1057/s41599-023-01891-9.
  16. Xianfeng Hao & Yudong Wang, 2023, "Cloud cover and expected oil returns," Humanities and Social Sciences Communications, Palgrave Macmillan, volume 10, issue 1, pages 1-10, December, DOI: 10.1057/s41599-023-02128-5.
  17. Danyan Wen & Mengxi He & Yudong Wang & Yaojie Zhang, 2023, "Forecasting stock market realized volatility: the role of global terrorist attacks," Applied Economics, Taylor & Francis Journals, volume 55, issue 22, pages 2551-2566, May, DOI: 10.1080/00036846.2022.2103503.
  18. Xianfeng Hao & Yudong Wang, 2023, "Forecasting the stock risk premium: A new statistical constraint," Journal of Forecasting, John Wiley & Sons, Ltd., volume 42, issue 7, pages 1805-1822, November, DOI: 10.1002/for.2984.
  19. Mengxi He & Yudong Wang & Yaojie Zhang, 2023, "The predictability of iron ore futures prices: A product‐material lead–lag effect," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 43, issue 9, pages 1289-1304, September, DOI: 10.1002/fut.22440.
  20. Yaojie Zhang & Mengxi He & Yuqi Zhao & Xianfeng Hao, 2023, "Predicting stock realized variance based on an asymmetric robust regression approach," Bulletin of Economic Research, Wiley Blackwell, volume 75, issue 4, pages 1022-1047, October, DOI: 10.1111/boer.12392.
  21. Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023, "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, volume 53, issue C, DOI: 10.1016/j.frl.2022.103620.
  22. He, Mengxi & Shen, Lihua & Zhang, Yaojie & Zhang, Yi, 2023, "Predicting cryptocurrency returns for real-world investments: A daily updated and accessible predictor," Finance Research Letters, Elsevier, volume 58, issue PA, DOI: 10.1016/j.frl.2023.104406.
  23. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023, "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, volume 64, issue C, DOI: 10.1016/j.ribaf.2022.101853.
  24. Qingxiang Han & Mengxi He & Yaojie Zhang & Muhammad Umar, 2023, "Default return spread: A powerful predictor of crude oil price returns," Journal of Forecasting, John Wiley & Sons, Ltd., volume 42, issue 7, pages 1786-1804, November, DOI: 10.1002/for.2983.

2022

  1. Li Liu & Zhiyuan Pan & Yudong Wang, 2022, "Shrinking return forecasts," The Financial Review, Eastern Finance Association, volume 57, issue 3, pages 641-661, August, DOI: 10.1111/fire.12297.
  2. Li, Chenchen & Wang, Yudong & Wu, Chongfeng, 2022, "Oil implied volatility and expected stock returns along the worldwide supply chain," Energy Economics, Elsevier, volume 114, issue C, DOI: 10.1016/j.eneco.2022.106322.
  3. Wang, Yudong & Hao, Xianfeng, 2022, "Forecasting the real prices of crude oil: A robust weighted least squares approach," Energy Economics, Elsevier, volume 116, issue C, DOI: 10.1016/j.eneco.2022.106405.
  4. Xiao, Jihong & Wang, Yudong, 2022, "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, volume 241, issue C, DOI: 10.1016/j.energy.2021.122517.
  5. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022, "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, volume 258, issue C, DOI: 10.1016/j.energy.2022.124824.
  6. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022, "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, volume 81, issue C, DOI: 10.1016/j.irfa.2022.102100.
  7. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022, "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, volume 76, issue C, DOI: 10.1016/j.resourpol.2022.102570.
  8. Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2022, "Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility," Resources Policy, Elsevier, volume 79, issue C, DOI: 10.1016/j.resourpol.2022.103093.
  9. Xiao, Jihong & Wang, Yudong, 2022, "Good oil volatility, bad oil volatility, and stock return predictability," International Review of Economics & Finance, Elsevier, volume 80, issue C, pages 953-966, DOI: 10.1016/j.iref.2022.03.013.
  10. Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022, "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, volume 8, issue 1, pages 1-31, December, DOI: 10.1186/s40854-022-00360-7.
  11. Mengxi He & Yaojie Zhang & Danyan Wen & Yudong Wang, 2022, "Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error," Applied Economics, Taylor & Francis Journals, volume 54, issue 50, pages 5811-5826, October, DOI: 10.1080/00036846.2022.2053653.
  12. Honghai Yu & Xianfeng Hao & Yudong Wang, 2022, "Good volatility, bad volatility, and time series return predictability," The European Journal of Finance, Taylor & Francis Journals, volume 28, issue 6, pages 571-595, April, DOI: 10.1080/1351847X.2021.1946119.
  13. Xi Wu & Xinle Tong & Yudong Wang, 2022, "Managerial ability and idiosyncratic volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 2, pages 2566-2581, April, DOI: 10.1002/ijfe.2287.
  14. Danyan Wen & Mengxi He & Yaojie Zhang & Yudong Wang, 2022, "Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 2, pages 230-251, March, DOI: 10.1002/for.2807.
  15. Yaojie Zhang & Mengxi He & Danyan Wen & Yudong Wang, 2022, "Forecasting Bitcoin volatility: A new insight from the threshold regression model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 3, pages 633-652, April, DOI: 10.1002/for.2822.
  16. Wensheng Cai & Zhiyuan Pan & Yudong Wang, 2022, "Uncertainty and the predictability of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 4, pages 765-792, July, DOI: 10.1002/for.2832.
  17. Yi, Yongsheng & He, Mengxi & Zhang, Yaojie, 2022, "Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?," The North American Journal of Economics and Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.najef.2022.101731.
  18. Zhang, Yi & Hu, Ailing & Wang, Jiahua & Zhang, Yaojie, 2022, "Detection of fraud statement based on word vector: Evidence from financial companies in China," Finance Research Letters, Elsevier, volume 46, issue PB, DOI: 10.1016/j.frl.2021.102477.
  19. He, Mengxi & Zhang, Yaojie, 2022, "Climate policy uncertainty and the stock return predictability of the oil industry," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 81, issue C, DOI: 10.1016/j.intfin.2022.101675.
  20. Zhang, Li & Wang, Lu & Wang, Xunxiao & Zhang, Yaojie & Pan, Zhigang, 2022, "How macro-variables drive crude oil volatility? Perspective from the STL-based iterated combination method," Resources Policy, Elsevier, volume 77, issue C, DOI: 10.1016/j.resourpol.2022.102656.
  21. Jin, Daxiang & He, Mengxi & Xing, Lu & Zhang, Yaojie, 2022, "Forecasting China's crude oil futures volatility: How to dig out the information of other energy futures volatilities?," Resources Policy, Elsevier, volume 78, issue C, DOI: 10.1016/j.resourpol.2022.102852.
  22. Hong, Yanran & Wang, Lu & Ye, Xiaoqing & Zhang, Yaojie, 2022, "Dynamic asymmetric impact of equity market uncertainty on energy markets: A time-varying causality analysis," Renewable Energy, Elsevier, volume 196, issue C, pages 535-546, DOI: 10.1016/j.renene.2022.07.027.
  23. Yongsheng Yi & Yaojie Zhang & Jihong Xiao & Xunxiao Wang, 2022, "Forecasting the Chinese Stock Market Volatility with G7 Stock Market Volatilities: A Scaled PCA Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 58, issue 13, pages 3639-3650, October, DOI: 10.1080/1540496X.2022.2061348.
  24. Chao Liang & Yi Zhang & Yaojie Zhang, 2022, "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, volume 54, issue 9, pages 1055-1070, February, DOI: 10.1080/00036846.2021.1975027.
  25. Danyan Wen & Mengxi He & Li Liu & Yaojie Zhang, 2022, "Forecasting crude oil prices: do technical indicators need economic constraints?," Quantitative Finance, Taylor & Francis Journals, volume 22, issue 8, pages 1545-1559, August, DOI: 10.1080/14697688.2022.2074305.
  26. Chao Liang & Yaojie Zhang & Xiafei Li & Feng Ma, 2022, "Which predictor is more predictive for Bitcoin volatility? And why?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 2, pages 1947-1961, April, DOI: 10.1002/ijfe.2252.
  27. Yusui Tang & Feng Ma & Yaojie Zhang & Yu Wei, 2022, "Forecasting the oil price realized volatility: A multivariate heterogeneous autoregressive model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 27, issue 4, pages 4770-4783, October, DOI: 10.1002/ijfe.2399.
  28. Chao Liang & Yan Li & Feng Ma & Yaojie Zhang, 2022, "Forecasting international equity market volatility: A new approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 41, issue 7, pages 1433-1457, November, DOI: 10.1002/for.2869.

2021

  1. Song, Xiaoling & Wang, Yudong & Zhang, Zhe & Shen, Charles & Peña-Mora, Feniosky, 2021, "Economic-environmental equilibrium-based bi-level dispatch strategy towards integrated electricity and natural gas systems," Applied Energy, Elsevier, volume 281, issue C, DOI: 10.1016/j.apenergy.2020.116142.
  2. Liu, Donghui & Meng, Lingjie & Wang, Yudong, 2021, "The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model," Journal of Asian Economics, Elsevier, volume 77, issue C, DOI: 10.1016/j.asieco.2021.101398.
  3. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021, "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, volume 103, issue C, DOI: 10.1016/j.econmod.2021.105614.
  4. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021, "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, volume 96, issue C, pages 209-219, DOI: 10.1016/j.econmod.2021.01.005.
  5. Xiao, Jihong & Wang, Yudong, 2021, "Investor attention and oil market volatility: Does economic policy uncertainty matter?," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105180.
  6. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021, "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105189.
  7. Wu, Xi & Wang, Yudong, 2021, "How does corporate investment react to oil prices changes? Evidence from China," Energy Economics, Elsevier, volume 97, issue C, DOI: 10.1016/j.eneco.2021.105215.
  8. Wang, Yudong & Hao, Xianfeng & Wu, Chongfeng, 2021, "Forecasting stock returns: A time-dependent weighted least squares approach," Journal of Financial Markets, Elsevier, volume 53, issue C, DOI: 10.1016/j.finmar.2020.100568.
  9. Wen, Danyan & Wang, Yudong, 2021, "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, volume 74, issue C, DOI: 10.1016/j.resourpol.2021.102374.
  10. Qianjie Geng & Yudong Wang, 2021, "Futures Hedging in CSI 300 Markets: A Comparison Between Minimum-Variance and Maximum-Utility Frameworks," Computational Economics, Springer;Society for Computational Economics, volume 57, issue 2, pages 719-742, February, DOI: 10.1007/s10614-020-09979-z.
  11. Zhiyuan Pan & Yudong Wang & Li Liu, 2021, "Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 11, pages 1791-1805, November, DOI: 10.1080/14697688.2020.1862418.
  12. Li Liu & Zhiyuan Pan & Yudong Wang, 2021, "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., volume 40, issue 1, pages 108-131, January, DOI: 10.1002/for.2699.
  13. Li Liu & Yudong Wang, 2021, "Forecasting aggregate market volatility: The role of good and bad uncertainties," Journal of Forecasting, John Wiley & Sons, Ltd., volume 40, issue 1, pages 40-61, January, DOI: 10.1002/for.2694.
  14. Yaojie Zhang & Yudong Wang & Feng Ma, 2021, "Forecasting US stock market volatility: How to use international volatility information," Journal of Forecasting, John Wiley & Sons, Ltd., volume 40, issue 5, pages 733-768, August, DOI: 10.1002/for.2737.
  15. Zhiyuan Pan & Yudong Wang & Li Liu, 2021, "Realized bipower variation, jump components, and option valuation," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 41, issue 12, pages 1933-1958, December, DOI: 10.1002/fut.22268.
  16. Likun Lei & Yaojie Zhang & Yu Wei & Yi Zhang, 2021, "Forecasting the volatility of Chinese stock market: An international volatility index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 1, pages 1336-1350, January, DOI: 10.1002/ijfe.1852.
  17. Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang, 2021, "Good variance, bad variance, and stock return predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 26, issue 3, pages 4410-4423, July, DOI: 10.1002/ijfe.2022.
  18. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021, "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 40, issue 8, pages 1463-1478, December, DOI: 10.1002/for.2779.

2020

  1. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020, "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, volume 55, issue C, pages 200-217, DOI: 10.1016/j.jempfin.2019.11.008.
  2. Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020, "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, volume 59, issue C, pages 1-24, DOI: 10.1016/j.jempfin.2020.07.005.
  3. Hao, Xianfeng & Zhao, Yuyang & Wang, Yudong, 2020, "Forecasting the real prices of crude oil using robust regression models with regularization constraints," Energy Economics, Elsevier, volume 86, issue C, DOI: 10.1016/j.eneco.2020.104683.
  4. Liu, Li & Tan, Siming & Wang, Yudong, 2020, "Can commodity prices forecast exchange rates?," Energy Economics, Elsevier, volume 87, issue C, DOI: 10.1016/j.eneco.2020.104719.
  5. Wen, Danyan & Liu, Li & Ma, Chaoqun & Wang, Yudong, 2020, "Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries," Energy, Elsevier, volume 212, issue C, DOI: 10.1016/j.energy.2020.118740.
  6. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020, "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, volume 36, issue 2, pages 666-683, DOI: 10.1016/j.ijforecast.2019.08.004.
  7. Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie, 2020, "Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?," Resources Policy, Elsevier, volume 69, issue C, DOI: 10.1016/j.resourpol.2020.101871.
  8. Liu, Donghui & Meng, Lingjie & Wang, Yudong, 2020, "Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions," International Review of Economics & Finance, Elsevier, volume 69, issue C, pages 20-32, DOI: 10.1016/j.iref.2020.04.011.
  9. Zhiyuan Pan & Ruijun Bu & Li Liu & Yudong Wang, 2020, "Macroeconomic fundamentals, jump dynamics and expected volatility," Quantitative Finance, Taylor & Francis Journals, volume 20, issue 8, pages 1345-1371, August, DOI: 10.1080/14697688.2020.1736317.
  10. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020, "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, volume 87, issue C, pages 24-33, DOI: 10.1016/j.econmod.2019.07.002.
  11. Zhang, Yaojie & Lei, Likun & Wei, Yu, 2020, "Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching," The North American Journal of Economics and Finance, Elsevier, volume 52, issue C, DOI: 10.1016/j.najef.2020.101145.
  12. Zhang, Yaojie & Ma, Feng & Liao, Yin, 2020, "Forecasting global equity market volatilities," International Journal of Forecasting, Elsevier, volume 36, issue 4, pages 1454-1475, DOI: 10.1016/j.ijforecast.2020.02.007.
  13. Li Liu & Feng Ma & Qing Zeng & Yaojie Zhang, 2020, "Forecasting the aggregate stock market volatility in a data-rich world," Applied Economics, Taylor & Francis Journals, volume 52, issue 32, pages 3448-3463, June, DOI: 10.1080/00036846.2020.1713291.
  14. Chao Liang & Yu Wei & Yaojie Zhang, 2020, "Is implied volatility more informative for forecasting realized volatility: An international perspective," Journal of Forecasting, John Wiley & Sons, Ltd., volume 39, issue 8, pages 1253-1276, December, DOI: 10.1002/for.2686.

2019

  1. Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong, 2019, "Dynamic portfolio allocation with time-varying jump risk," Journal of Empirical Finance, Elsevier, volume 50, issue C, pages 113-124, DOI: 10.1016/j.jempfin.2019.01.003.
  2. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019, "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, volume 54, issue C, pages 97-117, DOI: 10.1016/j.jempfin.2019.08.007.
  3. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019, "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, volume 80, issue C, pages 524-535, DOI: 10.1016/j.eneco.2019.02.005.
  4. Wang, Xunxiao & Wang, Yudong, 2019, "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, volume 80, issue C, pages 995-1009, DOI: 10.1016/j.eneco.2019.02.019.
  5. Wang, Yudong & Geng, Qianjie & Meng, Fanyi, 2019, "Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks," Energy, Elsevier, volume 181, issue C, pages 815-826, DOI: 10.1016/j.energy.2019.05.226.
  6. Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019, "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, volume 102, issue C, pages 43-58, DOI: 10.1016/j.jbankfin.2019.03.009.
  7. Wang, Yudong & Diao, Xundi & Pan, Zhiyuan & Wu, Chongfeng, 2019, "Heterogeneous beliefs and aggregate market volatility revisited: New evidence from China," Pacific-Basin Finance Journal, Elsevier, volume 55, issue C, pages 127-141, DOI: 10.1016/j.pacfin.2019.03.009.
  8. Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019, "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, volume 60, issue C, pages 62-84, DOI: 10.1016/j.iref.2018.12.019.
  9. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019, "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 6, pages 744-776, June, DOI: 10.1002/fut.22003.
  10. Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019, "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, volume 76, issue C, pages 319-329, DOI: 10.1016/j.econmod.2018.08.009.
  11. Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019, "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, volume 78, issue C, pages 32-39, DOI: 10.1016/j.econmod.2018.09.014.
  12. Ma, Feng & Liao, Yin & Zhang, Yaojie & Cao, Yang, 2019, "Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks," Journal of Empirical Finance, Elsevier, volume 52, issue C, pages 40-55, DOI: 10.1016/j.jempfin.2019.01.004.
  13. Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang, 2019, "Forecasting oil price volatility: Forecast combination versus shrinkage method," Energy Economics, Elsevier, volume 80, issue C, pages 423-433, DOI: 10.1016/j.eneco.2019.01.010.
  14. Zhang, Yaojie & Ma, Feng & Wei, Yu, 2019, "Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches," Energy Economics, Elsevier, volume 81, issue C, pages 1109-1120, DOI: 10.1016/j.eneco.2019.05.018.
  15. Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019, "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, volume 81, issue C, pages 52-62, DOI: 10.1016/j.eneco.2019.03.020.
  16. Liu, Jing & Ma, Feng & Tang, Yingkai & Zhang, Yaojie, 2019, "Geopolitical risk and oil volatility: A new insight," Energy Economics, Elsevier, volume 84, issue C, DOI: 10.1016/j.eneco.2019.104548.
  17. Zhang, Yaojie & Wei, Yu & Ma, Feng & Yi, Yongsheng, 2019, "Economic constraints and stock return predictability: A new approach," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 1-9, DOI: 10.1016/j.irfa.2019.02.007.
  18. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019, "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, volume 64, issue C, pages 250-261, DOI: 10.1016/j.irfa.2019.05.009.
  19. Ma, Feng & Wahab, M.I.M. & Zhang, Yaojie, 2019, "Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets," Pacific-Basin Finance Journal, Elsevier, volume 54, issue C, pages 132-146, DOI: 10.1016/j.pacfin.2019.02.006.
  20. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019, "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 525, issue C, pages 466-477, DOI: 10.1016/j.physa.2019.03.097.
  21. Feng Ma & Xinjie Lu & Ke Yang & Yaojie Zhang, 2019, "Volatility forecasting: long memory, regime switching and heteroscedasticity," Applied Economics, Taylor & Francis Journals, volume 51, issue 38, pages 4151-4163, August, DOI: 10.1080/00036846.2019.1589645.
  22. Yu Li & Feng Ma & Yaojie Zhang & Zuoping Xiao, 2019, "Economic policy uncertainty and the Chinese stock market volatility: new evidence," Applied Economics, Taylor & Francis Journals, volume 51, issue 49, pages 5398-5410, October, DOI: 10.1080/00036846.2019.1613507.
  23. Yaojie Zhang & Yu Wei & Li Liu, 2019, "Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value," Quantitative Finance, Taylor & Francis Journals, volume 19, issue 9, pages 1425-1438, September, DOI: 10.1080/14697688.2019.1585561.
  24. Yaojie Zhang & Feng Ma & Tianyi Wang & Li Liu, 2019, "Out‐of‐sample volatility prediction: A new mixed‐frequency approach," Journal of Forecasting, John Wiley & Sons, Ltd., volume 38, issue 7, pages 669-680, November, DOI: 10.1002/for.2590.
  25. Yongsheng Yi & Feng Ma & Dengshi Huang & Yaojie Zhang, 2019, "Interest rate level and stock return predictability," Review of Financial Economics, John Wiley & Sons, volume 37, issue 4, pages 506-522, October, DOI: 10.1002/rfe.1059.

2018

  1. Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi, 2018, "Momentum of return predictability," Journal of Empirical Finance, Elsevier, volume 45, issue C, pages 141-156, DOI: 10.1016/j.jempfin.2017.11.003.
  2. Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018, "Oil and the short-term predictability of stock return volatility," Journal of Empirical Finance, Elsevier, volume 47, issue C, pages 90-104, DOI: 10.1016/j.jempfin.2018.03.002.
  3. Pan, Zhiyuan & Wang, Qing & Wang, Yudong & Yang, Li, 2018, "Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model," Energy Economics, Elsevier, volume 72, issue C, pages 177-187, DOI: 10.1016/j.eneco.2018.04.008.
  4. Liu, Li & Wang, Yudong & Yang, Li, 2018, "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, volume 75, issue C, pages 193-205, DOI: 10.1016/j.eneco.2018.08.010.
  5. Wang, Yudong & Guo, Zhuangyue, 2018, "The dynamic spillover between carbon and energy markets: New evidence," Energy, Elsevier, volume 149, issue C, pages 24-33, DOI: 10.1016/j.energy.2018.01.145.
  6. Yudong Wang & Zhiyuan Pan & Chongfeng Wu, 2018, "Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., volume 37, issue 3, pages 385-400, April, DOI: 10.1002/for.2509.
  7. Ma, Feng & Liu, Jing & Wahab, M.I.M. & Zhang, Yaojie, 2018, "Forecasting the aggregate oil price volatility in a data-rich environment," Economic Modelling, Elsevier, volume 72, issue C, pages 320-332, DOI: 10.1016/j.econmod.2018.02.009.
  8. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018, "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, volume 75, issue C, pages 237-245, DOI: 10.1016/j.econmod.2018.06.020.
  9. Ma, Feng & Li, Yu & Liu, Li & Zhang, Yaojie, 2018, "Are low-frequency data really uninformative? A forecasting combination perspective," The North American Journal of Economics and Finance, Elsevier, volume 44, issue C, pages 92-108, DOI: 10.1016/j.najef.2017.11.006.
  10. Zhang, Yaojie & Ma, Feng & Shi, Benshan & Huang, Dengshi, 2018, "Forecasting the prices of crude oil: An iterated combination approach," Energy Economics, Elsevier, volume 70, issue C, pages 472-483, DOI: 10.1016/j.eneco.2018.01.027.
  11. Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018, "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, volume 72, issue C, pages 321-330, DOI: 10.1016/j.eneco.2018.04.023.
  12. Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong, 2018, "Forecasting oil futures price volatility: New evidence from realized range-based volatility," Energy Economics, Elsevier, volume 75, issue C, pages 400-409, DOI: 10.1016/j.eneco.2018.09.006.
  13. Mei, Dexiang & Zeng, Qing & Zhang, Yaojie & Hou, Wenjing, 2018, "Does US Economic Policy Uncertainty matter for European stock markets volatility?," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 512, issue C, pages 215-221, DOI: 10.1016/j.physa.2018.08.019.
  14. Yaojie Zhang & Yu Wei & Benshan Shi, 2018, "The pricing of loan insurance based on the Gram-Charlier option model," China Finance Review International, Emerald Group Publishing Limited, volume 8, issue 4, pages 425-440, March, DOI: 10.1108/CFRI-10-2017-0210.
  15. Yaojie Zhang & Benshan Shi, 2018, "Does default point vary with firm size?," Applied Economics Letters, Taylor & Francis Journals, volume 25, issue 15, pages 1078-1082, September, DOI: 10.1080/13504851.2017.1397843.

2017

  1. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng & Yin, Libo, 2017, "Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model," Journal of Empirical Finance, Elsevier, volume 43, issue C, pages 130-142, DOI: 10.1016/j.jempfin.2017.06.005.
  2. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2017, "Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models," Energy Economics, Elsevier, volume 66, issue C, pages 337-348, DOI: 10.1016/j.eneco.2017.07.007.
  3. Feng, Jiabao & Wang, Yudong & Yin, Libo, 2017, "Oil volatility risk and stock market volatility predictability: Evidence from G7 countries," Energy Economics, Elsevier, volume 68, issue C, pages 240-254, DOI: 10.1016/j.eneco.2017.09.023.
  4. Wang, Qizhen & Zhu, Yingming & Wang, Yudong, 2017, "The effects of oil shocks on export duration of China," Energy, Elsevier, volume 125, issue C, pages 55-61, DOI: 10.1016/j.energy.2017.02.101.
  5. Chen, Cheng & Wang, Yudong, 2017, "Understanding the multifractality in portfolio excess returns," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 466, issue C, pages 346-355, DOI: 10.1016/j.physa.2016.09.026.
  6. He, Shanshan & Wang, Yudong, 2017, "Revisiting the multifractality in stock returns and its modeling implications," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 467, issue C, pages 11-20, DOI: 10.1016/j.physa.2016.09.040.
  7. Yudong Wang & Zhiyuan Pan & Chongfeng Wu, 2017, "Time‐Varying Parameter Realized Volatility Models," Journal of Forecasting, John Wiley & Sons, Ltd., volume 36, issue 5, pages 566-580, August.
  8. Yaojie Zhang & Benshan Shi, 2017, "Systematic risk and deposit insurance pricing," China Finance Review International, Emerald Group Publishing Limited, volume 7, issue 4, pages 390-406, September, DOI: 10.1108/CFRI-12-2016-0133.

2016

  1. Pan, Zhiyuan & Wang, Yudong & Wu, Chongfeng, 2016, "A nonparametric approach to test for predictability," Economics Letters, Elsevier, volume 148, issue C, pages 10-16, DOI: 10.1016/j.econlet.2016.09.006.
  2. Liu, Li & Wang, Yudong & Wu, Chongfeng & Wu, Wenfeng, 2016, "Disentangling the determinants of real oil prices," Energy Economics, Elsevier, volume 56, issue C, pages 363-373, DOI: 10.1016/j.eneco.2016.04.003.
  3. Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016, "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, volume 56, issue C, pages 453-463, DOI: 10.1016/j.eneco.2016.04.008.
  4. Wang, Yudong & Liu, Li & Ma, Feng & Wu, Chongfeng, 2016, "What the investors need to know about forecasting oil futures return volatility," Energy Economics, Elsevier, volume 57, issue C, pages 128-139, DOI: 10.1016/j.eneco.2016.05.004.
  5. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016, "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, volume 112, issue C, pages 1036-1048, DOI: 10.1016/j.energy.2016.07.012.
  6. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016, "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, volume 32, issue 1, pages 1-9, DOI: 10.1016/j.ijforecast.2015.02.006.
  7. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016, "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, volume 64, issue C, pages 136-149, DOI: 10.1016/j.jbankfin.2015.12.010.
  8. Yang, Liansheng & Zhu, Yingming & Wang, Yudong, 2016, "Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 451, issue C, pages 357-365, DOI: 10.1016/j.physa.2016.01.100.
  9. Yang, Liansheng & Zhu, Yingming & Wang, Yudong & Wang, Yiqi, 2016, "Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 462, issue C, pages 255-265, DOI: 10.1016/j.physa.2016.06.040.
  10. Yudong Wang & Li Liu, 2016, "Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging," Empirical Economics, Springer, volume 50, issue 4, pages 1481-1509, June, DOI: 10.1007/s00181-015-0983-2.

2015

  1. Zhang, Bing & Wang, Yudong, 2015, "Limited attention of individual investors and stock performance: Evidence from the ChiNext market," Economic Modelling, Elsevier, volume 50, issue C, pages 94-104, DOI: 10.1016/j.econmod.2015.06.009.
  2. Wang, Yudong & Zhang, Bing & Diao, Xundi & Wu, Chongfeng, 2015, "Commodity price changes and the predictability of economic policy uncertainty," Economics Letters, Elsevier, volume 127, issue C, pages 39-42, DOI: 10.1016/j.econlet.2014.12.030.
  3. Liu, Li & Ma, Feng & Wang, Yudong, 2015, "Forecasting excess stock returns with crude oil market data," Energy Economics, Elsevier, volume 48, issue C, pages 316-324, DOI: 10.1016/j.eneco.2014.12.006.
  4. Wang, Yudong & Liu, Li & Diao, Xundi & Wu, Chongfeng, 2015, "Forecasting the real prices of crude oil under economic and statistical constraints," Energy Economics, Elsevier, volume 51, issue C, pages 599-608, DOI: 10.1016/j.eneco.2015.09.003.
  5. Yudong Wang & Chongfeng Wu & Li Yang, 2015, "Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?," Management Science, INFORMS, volume 61, issue 12, pages 2870-2889, December, DOI: 10.1287/mnsc.2014.2028.

2014

  1. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014, "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, volume 44, issue C, pages 22-35, DOI: 10.1016/j.eneco.2014.03.016.
  2. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014, "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, volume 46, issue C, pages 472-484, DOI: 10.1016/j.eneco.2014.05.014.
  3. Liu, Li & Wang, Yudong, 2014, "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 400, issue C, pages 20-30, DOI: 10.1016/j.physa.2014.01.009.

2013

  1. Wang, Yudong & Wu, Chongfeng, 2013, "Are crude oil spot and futures prices cointegrated? Not always!," Economic Modelling, Elsevier, volume 33, issue C, pages 641-650, DOI: 10.1016/j.econmod.2013.05.013.
  2. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2013, "Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries," Journal of Comparative Economics, Elsevier, volume 41, issue 4, pages 1220-1239, DOI: 10.1016/j.jce.2012.12.004.
  3. Yudong Wang & Chongfeng Wu, 2013, "Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis," Computational Economics, Springer;Society for Computational Economics, volume 42, issue 4, pages 393-414, December, DOI: 10.1007/s10614-012-9347-6.

2012

  1. Wang, Yudong & Wu, Chongfeng, 2012, "What can we learn from the history of gasoline crack spreads?: Long memory, structural breaks and modeling implications," Economic Modelling, Elsevier, volume 29, issue 2, pages 349-360, DOI: 10.1016/j.econmod.2011.11.001.
  2. Wang, Yudong & Wu, Chongfeng, 2012, "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, volume 29, issue 6, pages 2289-2297, DOI: 10.1016/j.econmod.2012.07.005.
  3. Wang, Yudong & Wu, Chongfeng, 2012, "Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?," Energy Economics, Elsevier, volume 34, issue 6, pages 2167-2181, DOI: 10.1016/j.eneco.2012.03.010.
  4. Wang, Yudong & Wu, Chongfeng, 2012, "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, volume 37, issue 3, pages 261-272, DOI: 10.1016/j.resourpol.2012.05.002.

2011

  1. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011, "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, volume 28, issue 3, pages 921-927, May.
  2. Lin, Xiaoqiang & Fei, Fangyu & Wang, Yudong, 2011, "Analysis of the efficiency of the Shanghai stock market: A volatility perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 390, issue 20, pages 3486-3495, DOI: 10.1016/j.physa.2011.05.017.
  3. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011, "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 390, issue 20, pages 3512-3523, DOI: 10.1016/j.physa.2011.05.023.
  4. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011, "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 390, issue 23, pages 4260-4272, DOI: 10.1016/j.physa.2011.06.042.
  5. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011, "Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 390, issue 5, pages 817-827, DOI: 10.1016/j.physa.2010.11.002.
  6. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2011, "Detrended fluctuation analysis on spot and futures markets of West Texas Intermediate crude oil," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 390, issue 5, pages 864-875, DOI: 10.1016/j.physa.2010.11.017.

2010

  1. Wang, Yudong & Liu, Li, 2010, "Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis," Energy Economics, Elsevier, volume 32, issue 5, pages 987-992, September.
  2. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2010, "Forecasting crude oil market volatility: Further evidence using GARCH-class models," Energy Economics, Elsevier, volume 32, issue 6, pages 1477-1484, November.
  3. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010, "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, volume 19, issue 4, pages 237-241, September.
  4. Gu, Rongbao & Chen, Hongtao & Wang, Yudong, 2010, "Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 389, issue 14, pages 2805-2815, DOI: 10.1016/j.physa.2010.03.003.
  5. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010, "Cross-correlations between Chinese A-share and B-share markets," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 389, issue 23, pages 5468-5478, DOI: 10.1016/j.physa.2010.08.029.
  6. Wang, Yudong & Wei, Yu & Wu, Chongfeng, 2010, "Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 389, issue 24, pages 5759-5768, DOI: 10.1016/j.physa.2010.08.053.
  7. Wang, Yudong & Liu, Li & Gu, Rongbao & Cao, Jianjun & Wang, Haiyan, 2010, "Analysis of market efficiency for the Shanghai stock market over time," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 389, issue 8, pages 1635-1642, DOI: 10.1016/j.physa.2009.12.039.

2009

  1. Wang, Yudong & Liu, Li & Gu, Rongbao, 2009, "Analysis of efficiency for Shenzhen stock market based on multifractal detrended fluctuation analysis," International Review of Financial Analysis, Elsevier, volume 18, issue 5, pages 271-276, December.

Chapters

2024

  1. Lingyun Zhou & Xiaoyu Gu & Fei Xu, 2024, "A Study of the Pricing and Profitability of Each Manufacturer Under the Dual-Credit Policy Based on the New Energy Vehicle Battery Recycling Credit Scheme," Lecture Notes in Operations Research, Springer, in: Daqing Gong & Yixuan Ma & Xiaowen Fu & Juliang Zhang & Xiaopu Shang, "Liss 2023", DOI: 10.1007/978-981-97-4045-1_13.

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