Yudong Wang
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017.
"Forecasting Stock Returns: A Predictor-Constrained Approach,"
Working Papers
116, Brandeis University, Department of Economics and International Business School.
- Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
- Davide Pettenuzzo & Zhiyuan Pan & Yudong Wang, 2017. "Forecasting Stock Returns: A Predictor-Constrained Approach," Working Papers 116R, Brandeis University, Department of Economics and International Business School, revised Feb 2018.
Cited by:
- 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, vol. 75(PB).
- Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021.
"Forecasting stock returns with large dimensional factor models,"
Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
- Alessandro Giovannelli & Daniele Massacci & Stefano Soccorsi, 2020. "Forecasting Stock Returns with Large Dimensional Factor Models," Working Papers 305661169, Lancaster University Management School, Economics Department.
- Nonejad, Nima, 2021. "Predicting equity premium using news-based economic policy uncertainty: Not all uncertainty changes are equally important," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Jonathan A. Batten & Harald Kinateder & Niklas Wagner, 2022. "Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity," Abacus, Accounting Foundation, University of Sydney, vol. 58(3), pages 567-588, September.
- Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
- Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Long, Jian-You & Zhou, Yang, 2023. "Forecasting stock market volatility under parameter and model uncertainty," Research in International Business and Finance, Elsevier, vol. 66(C).
- Nonejad, Nima, 2022. "Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?," Finance Research Letters, Elsevier, vol. 46(PA).
- Nonejad, Nima, 2021. "Predicting equity premium using dynamic model averaging. Does the state–space representation matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Wang, Yudong & Pan, Zhiyuan & Wu, Chongfeng & Wu, Wenfeng, 2020. "Industry equi-correlation: A powerful predictor of stock returns," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
- Joao F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020.
"Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?,"
Working Papers
202087, University of Pretoria, Department of Economics.
- João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, vol. 8(11), pages 1-16, November.
- Nonejad, Nima, 2022. "Predicting equity premium out-of-sample by conditioning on newspaper-based uncertainty measures: A comparative study," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Nonejad, Nima, 2023. "Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 91-122.
- 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, vol. 39(3), pages 1318-1332.
- 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, vol. 75(C), pages 237-245.
- Nima Nonejad, 2021. "Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1387-1411, August.
- Zhikai Zhang & Yaojie Zhang & Yudong Wang, 2024. "Forecasting the equity premium using weighted regressions: Does the jump variation help?," Empirical Economics, Springer, vol. 66(5), pages 2049-2082, May.
- Navratil, Robert & Taylor, Stephen & Vecer, Jan, 2021. "On equity market inefficiency during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Nonejad, Nima, 2022. "Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Yong Qu & Ying Yuan, 2025. "Predicting Equity Premium: A New Momentum Indicator Selection Strategy With Machine Learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 424-435, March.
- Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
- Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Zhang, Yue-Jun & Li, Zhao-Chen, 2021. "Forecasting the stock returns of Chinese oil companies: Can investor attention help?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 531-555.
Articles
- 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, vol. 70(C).
Cited by:
- José Gabriel Astaíza-Gómez, 2025. "Uncertainty, Risk, and Opaque Stock Markets," IJFS, MDPI, vol. 13(1), pages 1-32, March.
- 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, vol. 40(3), pages 1022-1041.
Cited by:
- Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
- He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
- Gong, Xue & Xu, Weijun & Li, Xiaodan & Gong, Xue, 2024. "Presidential economic approval rating and global foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 96(PB).
- Geng, Qianjie & Wang, Yudong, 2024.
"Forecasting the volatility of crude oil basis: Univariate models versus multivariate models,"
Energy, Elsevier, vol. 295(C).
Cited by:
- Haisheng Yu & Shenhui Song, 2025. "Natural Gas Futures Price Prediction Based on Variational Mode Decomposition–Gated Recurrent Unit/Autoencoder/Multilayer Perceptron–Random Forest Hybrid Model," Sustainability, MDPI, vol. 17(6), pages 1-23, March.
- 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., vol. 43(3), pages 567-582, April.
Cited by:
- Xiangdong Liu & Sicheng Fu & Shaopeng Hong, 2025. "Forecasting realized volatility in the stock market: a path-dependent perspective," Papers 2503.00851, arXiv.org.
- Meet Satishbhai Sonani & Atta Badii & Armin Moin, 2025. "Stock Price Prediction Using a Hybrid LSTM-GNN Model: Integrating Time-Series and Graph-Based Analysis," Papers 2502.15813, arXiv.org.
- Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024.
"Modelling and forecasting crude oil price volatility with climate policy uncertainty,"
Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
Cited by:
- Fei Lu & Feng Ma & Elie Bouri, 2024. "Stock market volatility predictability: new evidence from energy consumption," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-17, December.
- Gong, Xue & Xu, Weijun & Li, Xiaodan & Gong, Xue, 2024. "Presidential economic approval rating and global foreign exchange market volatility," International Review of Financial Analysis, Elsevier, vol. 96(PB).
- 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., vol. 44(4), pages 557-584, April.
Cited by:
- Małgorzata Błażejowska & Anna Czarny & Iwona Kowalska & Andrzej Michalczewski & Paweł Stępień, 2025. "The Hedging Strategies of Enterprises in the European Union Allowances Market—Implementation Actions for Sustainable Development," Sustainability, MDPI, vol. 17(5), pages 1-27, February.
- Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024.
"Forecasting oil futures returns with news,"
Energy Economics, Elsevier, vol. 134(C).
Cited by:
- Jeong, Minhyuk & Ahn, Kwangwon, 2025. "Energy organization sentiment and oil return forecast," Energy Economics, Elsevier, vol. 141(C).
- 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, vol. 94(C).
Cited by:
- Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024. "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
- Vu, Thanh Nam, 2025. "ESG performance and sustainability concerns exposure," Finance Research Letters, Elsevier, vol. 71(C).
- Zhikai Zhang & Yaojie Zhang & Yudong Wang, 2024.
"Forecasting the equity premium using weighted regressions: Does the jump variation help?,"
Empirical Economics, Springer, vol. 66(5), pages 2049-2082, May.
Cited by:
- Ma, Yong & Li, Shuaibing & Zhou, Mingtao, 2024. "Forecasting crude oil prices: Does global financial uncertainty matter?," International Review of Economics & Finance, Elsevier, vol. 96(PC).
- 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, vol. 133(C).
Cited by:
- Fields, Micah & Lindequist, David, 2024. "Global spillovers of US climate policy risk: Evidence from EU carbon emissions futures," Energy Economics, Elsevier, vol. 139(C).
- Haisheng Yu & Shenhui Song, 2025. "Natural Gas Futures Price Prediction Based on Variational Mode Decomposition–Gated Recurrent Unit/Autoencoder/Multilayer Perceptron–Random Forest Hybrid Model," Sustainability, MDPI, vol. 17(6), pages 1-23, March.
- 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, vol. 55(PA).
Cited by:
- 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., vol. 44(4), pages 557-584, April.
- 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, vol. 55(22), pages 2551-2566, May.
Cited by:
- Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
- Xianfeng Hao & Yudong Wang, 2023.
"Cloud cover and expected oil returns,"
Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-10, December.
Cited by:
- Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
- Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
- 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, vol. 39(3), pages 1318-1332.
Cited by:
- Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
- Li, Xinyu & Wu, Meng & Yuan, Luqi & Xiao, Meng & Zhong, Ronghao & Yu, Miao, 2024. "Uncertainties and oil price volatility: Can lasso help?," Finance Research Letters, Elsevier, vol. 61(C).
- 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, vol. 40(3), pages 1022-1041.
- 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, vol. 58(PA).
- Che, Ming & Wang, Li & Li, Yujia, 2024. "Global economic policy uncertainty and oil price uncertainty: Which is more important for global economic activity?," Energy, Elsevier, vol. 310(C).
- Luo, Tao & Sun, Huaping & Zhang, Lixia & Bai, Jiancheng, 2024. "Do the dynamics of macroeconomic attention drive the yen/dollar exchange market volatility?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 597-611.
- Li, Yan & Huynh, Luu Duc Toan & Xu, Yongan & Liang, Hao, 2023. "The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures," Energy Economics, Elsevier, vol. 127(PB).
- Li, Zhao-Chen & Xie, Chi & Wang, Gang-Jin & Zhu, You & Zeng, Zhi-Jian & Gong, Jue, 2024. "Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 673-711.
- 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., vol. 43(5), pages 1595-1606, August.
- Amar Rao & Marco Tedeschi & Kamel Si Mohammed & Umer Shahzad, 2024. "Role of Economic Policy Uncertainty in Energy Commodities Prices Forecasting: Evidence from a Hybrid Deep Learning Approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3295-3315, December.
- Zhu, Jiaji & Han, Wei & Zhang, Junchao, 2023. "Does climate risk matter for gold price volatility?," Finance Research Letters, Elsevier, vol. 58(PC).
- Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
- He, Mengxi & Zhang, Zhikai & Zhang, Yaojie, 2024. "Forecasting crude oil prices with global ocean temperatures," Energy, Elsevier, vol. 311(C).
- Ma, Yong & Li, Shuaibing & Zhou, Mingtao, 2024. "Forecasting crude oil prices: Does global financial uncertainty matter?," International Review of Economics & Finance, Elsevier, vol. 96(PC).
- Gaoxiu Qiao & Yijun Pan & Chao Liang & Lu Wang & Jinghui Wang, 2024. "Forecasting Chinese crude oil futures volatility: New evidence based on dual feature processing of large‐scale variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2495-2521, November.
- Lang, Chunlin & Xu, Danyang & Corbet, Shaen & Hu, Yang & Goodell, John W., 2024. "Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Lu Yang, 2025. "From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(2), pages 143-157, February.
- Xu, Yongan & Duong, Duy & Xu, Hualong, 2023. "Attention! Predicting crude oil prices from the perspective of extreme weather," Finance Research Letters, Elsevier, vol. 57(C).
- 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, vol. 95(C).
- Zeng, Qing & Tang, Yusui & Yang, Hua & Zhang, Xi, 2024. "Stock market volatility and economic policy uncertainty: New insight into a dynamic threshold mixed-frequency model," Finance Research Letters, Elsevier, vol. 59(C).
- Ma, Yong & Zhou, Mingtao & Li, Shuaibing, 2024. "Weathering market swings: Does climate risk matter for agricultural commodity price predictability?," Journal of Commodity Markets, Elsevier, vol. 36(C).
- Song, Yixuan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2023.
"Forecasting crude oil prices: A reduced-rank approach,"
International Review of Economics & Finance, Elsevier, vol. 88(C), pages 698-711.
Cited by:
- Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
- Li, Jinchao & Guo, Yuwei, 2025. "A hybrid model based on iTransformer for risk warning of crude oil price fluctuations," Energy, Elsevier, vol. 314(C).
- Guan, Keqin & Gong, Xu, 2023. "A new hybrid deep learning model for monthly oil prices forecasting," Energy Economics, Elsevier, vol. 128(C).
- Ouyang, Zisheng & Lu, Min & Ouyang, Zhongzhe & Zhou, Xuewei & Wang, Ren, 2024. "A novel integrated method for improving the forecasting accuracy of crude oil: ESMD-CFastICA-BiLSTM-Attention," Energy Economics, Elsevier, vol. 138(C).
- Dong, Xianzhou & Guo, Weiyong & Zhou, Cheng & Luo, Yongqiang & Tian, Zhiyong & Zhang, Limao & Wu, Xiaoying & Liu, Baobing, 2024. "Hybrid model for robust and accurate forecasting building electricity demand combining physical and data-driven methods," Energy, Elsevier, vol. 311(C).
- Xiaotao Zhang & Zihui Xia & Feng He & Jing Hao, 2025. "Forecasting crude oil prices with alternative data and a deep learning approach," Annals of Operations Research, Springer, vol. 345(2), pages 1165-1191, February.
- Bai, Yun & Deng, Shuyun & Pu, Ziqiang & Li, Chuan, 2024. "Carbon price forecasting using leaky integrator echo state networks with the framework of decomposition-reconstruction-integration," Energy, Elsevier, vol. 305(C).
- Yin, Linfei & Zheng, Da, 2024. "Decomposition prediction fractional-order PID reinforcement learning for short-term smart generation control of integrated energy systems," Applied Energy, Elsevier, vol. 355(C).
- Lahmiri, Salim, 2024. "Fossil energy market price prediction by using machine learning with optimal hyper-parameters: A comparative study," Resources Policy, Elsevier, vol. 92(C).
- 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, vol. 39(1), pages 486-502.
Cited by:
- Yilun Zhang & Yuping Song & Ying Peng & Hanchao Wang, 2024. "Volatility forecasting incorporating intraday positive and negative jumps based on deep learning model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2749-2765, November.
- Yu, Yue & Wang, Jianzhou & Jiang, He & Lu, Haiyan, 2025. "How to manage a multifactor-driven crude oil market more effectively? A revisit based on the multiple criteria perspective," Resources Policy, Elsevier, vol. 100(C).
- Ma, Feng & Cao, Jiawei, 2023. "The Chinese equity premium predictability: Evidence from a long historical data," Finance Research Letters, Elsevier, vol. 53(C).
- Zhang, Feipeng & Gao, Hongfu & Yuan, Di, 2024. "The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model," Journal of Commodity Markets, Elsevier, vol. 35(C).
- Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
- Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
- Štefan Bojnec, 2023. "Electricity Markets, Electricity Prices and Green Energy Transition," Energies, MDPI, vol. 16(2), pages 1-4, January.
- Jiawen Luo & Qun Zhang, 2024. "Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 151-217, February.
- Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
- Huang, Xiaozhou & Wang, Yubao & Song, Juan, 2023. "The Chinese oil futures volatility: Evidence from high-low estimator information," Finance Research Letters, Elsevier, vol. 56(C).
- Bae, Juhee, 2024. "Factor-augmented forecasting in big data," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1660-1688.
- Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
- Zhang, Hongwei & Wang, Wentao & Niu, Zibo, 2024. "Geopolitical risks and crude oil futures volatility: Evidence from machine learning," Resources Policy, Elsevier, vol. 98(C).
- Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).
- Lyócsa, Štefan & Todorova, Neda, 2024. "What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty," Energy Economics, Elsevier, vol. 140(C).
- Tiwari, Aviral Kumar & Sharma, Gagan Deep & Rao, Amar & Hossain, Mohammad Razib & Dev, Dhairya, 2024. "Unraveling the crystal ball: Machine learning models for crude oil and natural gas volatility forecasting," Energy Economics, Elsevier, vol. 134(C).
- Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023.
"Climate risk exposure and the cross-section of Chinese stock returns,"
Finance Research Letters, Elsevier, vol. 55(PB).
Cited by:
- 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, vol. 94(C).
- Lai, Fujun & Cheng, Xianli & Li, An & Xiong, Deping & Li, Yunzhong, 2025. "Does flood risk affect the implied cost of equity capital?," Finance Research Letters, Elsevier, vol. 71(C).
- 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., vol. 43(5), pages 1595-1606, August.
- Zhang, Yaojie & Zhang, Yuxuan & Ren, Xinrui & Jin, Meichen, 2024. "Geopolitical risk exposure and stock returns: Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
- Peng, Pei & Guo, Yangli & Huang, Dengshi & Wang, Hui, 2025. "Climate change risk and bond risk premium," International Review of Financial Analysis, Elsevier, vol. 97(C).
- Liu, Hao & Lin, Chuyin, 2023. "Climate change news risk and corporate bond returns in China," Finance Research Letters, Elsevier, vol. 58(PC).
- Vu, Thanh Nam, 2025. "ESG performance and sustainability concerns exposure," Finance Research Letters, Elsevier, vol. 71(C).
- Liu, Peng & Chen, Yaru & Mu, Yan, 2024. "The impact of climate risk aversion on agribusiness share price volatility," Finance Research Letters, Elsevier, vol. 61(C).
- 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,"
Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
Cited by:
- Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
- Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023.
"Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective,"
Resources Policy, Elsevier, vol. 83(C).
Cited by:
- Sohag, Kazi & Karass, Vsevolod & Alam, Khorshed, 2025. "European industrial production in the face of energy dynamics and geopolitical shocks," Energy, Elsevier, vol. 316(C).
- Ren, Xiaohang & Yang, Wanping & Jin, Yi, 2024. "Geopolitical risk and renewable energy consumption: Evidence from a spatial convergence perspective," Energy Economics, Elsevier, vol. 131(C).
- Islam, Md. Saiful & Islam, Md. Monirul & Rehman, Anis Ur & Alam, Md. Fakhre & Tarique, Md., 2024. "Mineral production amidst the economy of uncertainty: Response of metallic and non-metallic minerals to geopolitical turmoil in Saudi Arabia," Resources Policy, Elsevier, vol. 90(C).
- Aloui, Riadh & Ben Jabeur, Sami & Rezgui, Hichem & Ben Arfi, Wissal, 2023. "Geopolitical risk and commodity future returns: Fresh insights from dynamic copula conditional value-at-risk approach," Resources Policy, Elsevier, vol. 85(PB).
- Loc Dong Truong & Nhien Tuyet Doan & Anh Thi Kim Nguyen, 2024. "The Effects of Geopolitical Risks on Oil Price Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 427-432, January.
- Zhu, Pengfei & Lu, Tuantuan & Shang, Yue & Zhang, Zerong & Wei, Yu, 2023. "Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market," Finance Research Letters, Elsevier, vol. 58(PA).
- Chen, Hanfang & Wang, Zhongjie & Chen, Zhangchi, 2024. "Accounting integrity, borrowing capacity and corporate R&D input: Evidence from China," Finance Research Letters, Elsevier, vol. 62(PB).
- Hao, Xinlei & Ma, Yong & Pan, Dongtao, 2024. "Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 73(C).
- Cheikh, Nidhaleddine Ben & Zaied, Younes Ben & Mattoussi, Wided, 2023. "Oil price shocks in the age of surging inflation," Energy Economics, Elsevier, vol. 128(C).
- Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
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"Not all geopolitical shocks are alike: Identifying price dynamics in the crude oil market under tensions,"
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"How political tensions and geopolitical risks impact oil prices?,"
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- Valérie Mignon & Jamel Saadaoui, 2023. "How Do Political Tensions and Geopolitical Risks Impact Oil Prices?," Post-Print hal-04436183, HAL.
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"How political tensions and geopolitical risks impact oil prices?,"
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Energy Economics, Elsevier, vol. 126(C).
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"Hedging pressure momentum and the predictability of oil futures returns,"
Economic Modelling, Elsevier, vol. 121(C).
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"Forecasting crude oil futures market returns: A principal component analysis combination approach,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
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- Yuqing Feng & Yaojie Zhang, 2025. "Forecasting Realized Volatility: The Choice of Window Size," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 692-705, March.
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"Forecasting crude oil price returns: Can nonlinearity help?,"
Energy, Elsevier, vol. 262(PB).
Cited by:
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- AL-Alimi, Dalal & AlRassas, Ayman Mutahar & Al-qaness, Mohammed A.A. & Cai, Zhihua & Aseeri, Ahmad O. & Abd Elaziz, Mohamed & Ewees, Ahmed A., 2023. "TLIA: Time-series forecasting model using long short-term memory integrated with artificial neural networks for volatile energy markets," Applied Energy, Elsevier, vol. 343(C).
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"Forecasting the real prices of crude oil: What is the role of parameter instability?,"
Energy Economics, Elsevier, vol. 117(C).
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"Forecasting aggregate stock market volatility with industry volatilities: The role of spillover index,"
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"Portfolios with return and volatility prediction for the energy stock market,"
Energy, Elsevier, vol. 270(C).
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"Uncertainty and the predictability of stock returns,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 765-792, July.
Cited by:
- Junyu Zhang & Xinfeng Ruan & Jin E. Zhang, 2023. "Risk‐neutral moments and return predictability: International evidence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1086-1111, August.
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"Managerial ability and idiosyncratic volatility,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2566-2581, April.
Cited by:
- Liukai Wang & Caiting Wang & Larisa Yarovaya & Heshu Huang, 2024. "Trade credit and corporate digital transformation: The role of managerial ability," The Financial Review, Eastern Finance Association, vol. 59(3), pages 779-806, August.
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"Forecasting crude oil market returns: Enhanced moving average technical indicators,"
Resources Policy, Elsevier, vol. 76(C).
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"Forecasting Bitcoin volatility: A new insight from the threshold regression model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 633-652, April.
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"Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent,"
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"Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis,"
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"Oil implied volatility and expected stock returns along the worldwide supply chain,"
Energy Economics, Elsevier, vol. 114(C).
Cited by:
- Asma-Qamaliah Abdul-Hamid & Lokhman Hakim Osman & Ahmad Raflis Che Omar & Mara Ridhuan Che Abdul Rahman & Mohd Helmi Ali, 2023. "What Have We Learned? A Bibliometric Review of a Three-Decade Investigation into the Supply Chain Uncertainty and a Revised Framework to Cope with the Challenges," Sustainability, MDPI, vol. 15(22), pages 1-19, November.
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- Honghai Yu & Xianfeng Hao & Yudong Wang, 2022.
"Good volatility, bad volatility, and time series return predictability,"
The European Journal of Finance, Taylor & Francis Journals, vol. 28(6), pages 571-595, April.
Cited by:
- Qiao, Kenan & Ji, Zhehan & Xie, Haibin, 2023. "Unrealized return dispersion and the equity risk premium," Finance Research Letters, Elsevier, vol. 58(PA).
- 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, vol. 8(1), pages 1-31, December.
Cited by:
- Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
- 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., vol. 43(3), pages 567-582, April.
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- Xiao, Jihong & Wang, Yudong, 2022.
"Good oil volatility, bad oil volatility, and stock return predictability,"
International Review of Economics & Finance, Elsevier, vol. 80(C), pages 953-966.
Cited by:
- 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, vol. 75(PB).
- Tong Fang & Deyu Miao & Zhi Su & Libo Yin, 2023. "Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 872-904, July.
- Rao, Amar & Dev, Dhairya & Kharbanda, Aeshna & Parihar, Jaya Singh & Sala, Dariusz, 2024. "Mineral policy and sustainable development goals: Volatility forecasting in the Global South's minerals market," Resources Policy, Elsevier, vol. 98(C).
- Zhang, Feipeng & Gao, Hongfu & Yuan, Di, 2024. "The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model," Journal of Commodity Markets, Elsevier, vol. 35(C).
- Zhu, Qing & Che, Jianhua & Liu, Shan, 2024. "Comparative analysis of profits from Bitcoin and its derivatives using artificial intelligence for hedge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 654(C).
- Choi, Sun-Yong, 2024. "Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market," Journal of Multinational Financial Management, Elsevier, vol. 76(C).
- Chen, Wang & Chevallier, Julien & Wang, Jiqian & Zhong, Juandan, 2022. "Stock market return predictability revisited: Evidence from a new index constructing the oil market," Finance Research Letters, Elsevier, vol. 49(C).
- 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, vol. 84(C).
- Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).
- Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022.
"Geopolitical risk trends and crude oil price predictability,"
Energy, Elsevier, vol. 258(C).
Cited by:
- Zhang, Yaojie & He, Jiaxin & He, Mengxi & Li, Shaofang, 2023. "Geopolitical risk and stock market volatility: A global perspective," Finance Research Letters, Elsevier, vol. 53(C).
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- Pandey, Dharen Kumar & Al-ahdal, Waleed M. & Rusere, Warren & Ali, Azwadi & Nor, Safwan Mohd, 2024. "Impact of firm characteristics and country-level governance on global energy stocks during crises," Research in International Business and Finance, Elsevier, vol. 72(PA).
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- Özkan, Oktay & Destek, Mehmet Akif & Balsalobre-Lorente, Daniel & Esmaeili, Parisa, 2024. "Unlocking the impact of international financial support to infrastructure, energy efficiency, and ICT on CO2 emissions in India," Energy Policy, Elsevier, vol. 194(C).
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- Chuanguo Zhang & Mengfan Dong, 2023. "China’s embodied oil outflow: estimation and structural path analysis," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 25(12), pages 14861-14885, December.
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- Loc Dong Truong & Nhien Tuyet Doan & Anh Thi Kim Nguyen, 2024. "The Effects of Geopolitical Risks on Oil Price Volatility," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 427-432, January.
- Wei Hu & Yue Shan & Yun Deng & Ningning Fu & Jian Duan & Haining Jiang & Jianzhen Zhang, 2023. "Geopolitical Risk Evolution and Obstacle Factors of Countries along the Belt and Road and Its Types Classification," IJERPH, MDPI, vol. 20(2), pages 1-24, January.
- Lee, Chien-Chiang & Lou, Runchi & Wang, Fuhao, 2023. "Geopolitical risk and the sustainable utilization of natural resources: Evidence from developing countries," Resources Policy, Elsevier, vol. 85(PA).
- Chen, Zhiguo & Gao, Wei & Zafar, Quratulain & Dördüncü, Hazar, 2023. "Natural resources extraction and geopolitical risk: Examining oil resources extraction in China," Resources Policy, Elsevier, vol. 85(PA).
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- Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
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- Shao, Liuguo & Cao, Saisha & Zhang, Hua, 2024. "The impact of geopolitical risk on strategic emerging minerals prices: Evidence from MODWT-based Granger causality test," Resources Policy, Elsevier, vol. 88(C).
- Yang, Tianle & Dong, Qingyuan & Du, Min & Du, Qunyang, 2023. "Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach," Energy Economics, Elsevier, vol. 127(PB).
- Ding, Tao & Li, Hao & Tan, Ruipeng & Zhao, Xin, 2023. "How does geopolitical risk affect carbon emissions?: An empirical study from the perspective of mineral resources extraction in OECD countries," Resources Policy, Elsevier, vol. 85(PB).
- Zhikai Zhang & Yaojie Zhang & Yudong Wang, 2024. "Forecasting the equity premium using weighted regressions: Does the jump variation help?," Empirical Economics, Springer, vol. 66(5), pages 2049-2082, May.
- Meng, Lingyan & Li, Jinshi, 2024. "Natural resources volatility and geopolitical risk: A novel perspective of oil and mineral rents using quantile-quantile regression for China," Resources Policy, Elsevier, vol. 88(C).
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- Zhao, Dong & Sibt e-Ali, Muhammad & Omer Chaudhry, Muhammad & Ayub, Bakhtawer & Waqas, Muhammad & Ullah, Irfan, 2024. "Modeling the Nexus between geopolitical risk, oil price volatility and renewable energy investment; evidence from Chinese listed firms," Renewable Energy, Elsevier, vol. 225(C).
- Adeniyi Adeosun, Opeoluwa & Anagreh, Suhaib & Tabash, Mosab I. & Adedokun, Adebayo, 2023. "Revisiting the connectedness between oil prices and uncertainty indicators in BRICS countries," Resources Policy, Elsevier, vol. 86(PA).
- Shucheng Lin & Yue Wang & Haocheng Wei & Xiaoyi Wang & Zhong Wang, 2025. "Hybrid Method for Oil Price Prediction Based on Feature Selection and XGBOOST-LSTM," Energies, MDPI, vol. 18(9), pages 1-27, April.
- Wang, Kai-Hua & Wen, Cui-Ping & Liu, Hong-Wen & Liu, Lu, 2023. "Promotion or hindrance? Exploring the bidirectional causality between geopolitical risk and green bonds from an energy perspective," Resources Policy, Elsevier, vol. 85(PB).
- Jeong, Minhyuk & Ahn, Kwangwon, 2025. "Energy organization sentiment and oil return forecast," Energy Economics, Elsevier, vol. 141(C).
- Huang, Zhuo & Ye, Chengfang & Lai, Fujun & Li, Yunzhong & Li, Xiaofan, 2024. "Dancing between threats and conflicts: How Chinese energy companies invest amidst global geopolitical risks," Energy Economics, Elsevier, vol. 139(C).
- Zhang, Zhikai & Wang, Yudong & Li, Bin, 2023. "Asymmetric spillover of geopolitical risk and oil price volatility: A global perspective," Resources Policy, Elsevier, vol. 83(C).
- Saâdaoui, Foued & Ben Jabeur, Sami, 2023. "Analyzing the influence of geopolitical risks on European power prices using a multiresolution causal neural network," Energy Economics, Elsevier, vol. 124(C).
- Xia, Liangke & Wan, Lijiang & Wang, Weizheng & Luo, Jian & Yan, Jiale, 2023. "Energy accessibility via natural resources: Do natural resources ensure energy accessibility in low income countries?," Resources Policy, Elsevier, vol. 86(PB).
- Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Volatility connectedness between geopolitical risk and financial markets: Insights from pandemic and military crisis periods," International Review of Economics & Finance, Elsevier, vol. 96(PC).
- Olanipekun, Ifedolapo Olabisi & Ozkan, Oktay & Olasehinde-Williams, Godwin, 2023. "Is renewable energy use lowering resource-related uncertainties?," Energy, Elsevier, vol. 271(C).
- Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
- Su, Chi-Wei & Wang, Dan & Mirza, Nawazish & Zhong, Yifan & Umar, Muhammad, 2023. "The impact of consumer confidence on oil prices," Energy Economics, Elsevier, vol. 124(C).
- Elias A. Udeaja & Jeremiah M. Tule & Seyi Saint Akadiri & Elijah O. Akanni & Peter F. Offum, 2024. "Do economic policy uncertainty and geopolitical risk impede economic transformation? Evidence from resource rich country," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(4), pages 1145-1165, December.
- Li Liu & Zhiyuan Pan & Yudong Wang, 2022.
"Shrinking return forecasts,"
The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
Cited by:
- IWASAKI, Ichiro & MA, Xinxin & MIZOBATA, Satoshi, 2023.
"Board Generational Diversity in Emerging Markets,"
CEI Working Paper Series
2023-02, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- Iwasaki, Ichiro & Ma, Xinxin & Mizobata, Satoshi, 2023. "Board generational diversity in emerging markets," Emerging Markets Review, Elsevier, vol. 55(C).
- IWASAKI, Ichiro & MA, Xinxin & MIZOBATA, Satoshi, 2023.
"Board Generational Diversity in Emerging Markets,"
CEI Working Paper Series
2023-02, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
- 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, vol. 79(C).
Cited by:
- Zhang, Xiaoyun & Guo, Qiang, 2024. "How useful are energy-related uncertainty for oil price volatility forecasting?," Finance Research Letters, Elsevier, vol. 60(C).
- Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
- Wenwen Liu & Miaomiao Tang & Peng Zhao, 2025. "The dynamic impact of investor climate sentiment on the crude oil futures market: Evidence from the Chinese market," PLOS ONE, Public Library of Science, vol. 20(2), pages 1-29, February.
- Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
- Feng, Lingbing & Rao, Haicheng & Lucey, Brian & Zhu, Yiying, 2024. "Volatility forecasting on China's oil futures: New evidence from interpretable ensemble boosting trees," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1595-1615.
- Ioannis Dokas & Georgios Oikonomou & Minas Panagiotidis & Eleftherios Spyromitros, 2023. "Macroeconomic and Uncertainty Shocks’ Effects on Energy Prices: A Comprehensive Literature Review," Energies, MDPI, vol. 16(3), pages 1-35, February.
- Werner Kristjanpoller, 2024. "A hybrid econometrics and machine learning based modeling of realized volatility of natural gas," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-32, December.
- 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., vol. 44(4), pages 557-584, April.
- Xiao, Jihong & Wang, Yudong, 2022.
"Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression,"
Energy, Elsevier, vol. 241(C).
Cited by:
- Gong, Xue & Lai, Ping & He, Mengxi & Wen, Danyan, 2024. "Climate risk and energy futures high frequency volatility prediction," Energy, Elsevier, vol. 307(C).
- Yizheng Wang & Enhao Shi & Yang Xu & Jiahua Hu & Changsen Feng, 2024. "Short-Term Electricity Futures Investment Strategies for Power Producers Based on Multi-Agent Deep Reinforcement Learning," Energies, MDPI, vol. 17(21), pages 1-23, October.
- Uribe, Jorge M. & Mosquera-López, Stephania & Arenas, Oscar J., 2022.
"Assessing the relationship between electricity and natural gas prices in European markets in times of distress,"
Energy Policy, Elsevier, vol. 166(C).
- Jorge M. Uribe & Stephania Mosquera-López & Oscar J. Arenas, 2021. ""Assessing the relationship between electricity and natural gas prices in European markets in times of distress"," IREA Working Papers 202117, University of Barcelona, Research Institute of Applied Economics, revised Nov 2021.
- Dai, Zhifeng & Tang, Rui & Zhang, Xiaotong, 2023. "A new multilayer network for measuring interconnectedness among the energy firms," Energy Economics, Elsevier, vol. 124(C).
- Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
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- Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
- Enwo-Irem, Imaculata Nnenna & Urom, Christian, 2024. "Climate change concerns and macroeconomic condition predictability," Finance Research Letters, Elsevier, vol. 60(C).
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- Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
- Ren, Yinghua & Wang, Nairong & Zhu, Huiming, 2025. "Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market: Time-frequency evidence from Quantile-on-Quantile regression," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
- Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
- Ibrahim Mohamed Ali Ali, 2023. "Income Inequality and Environmental Degradation in Middle-Income Countries: A Test of Two Competing Hypotheses," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 166(2), pages 299-321, April.
- Sarit Maitra, 2023. "Impact of Economic Uncertainty, Geopolitical Risk, Pandemic, Financial & Macroeconomic Factors on Crude Oil Returns -- An Empirical Investigation," Papers 2310.01123, arXiv.org, revised Oct 2023.
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- 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., vol. 41(2), pages 230-251, March.
Cited by:
- Zhang, Yaojie & He, Mengxi & Wang, Yudong & Wen, Danyan, 2025. "Model specification for volatility forecasting benchmark," International Review of Financial Analysis, Elsevier, vol. 97(C).
- 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., vol. 43(5), pages 1595-1606, August.
- Chao Liang & Yongan Xu & Zhonglu Chen & Xiafei Li, 2023. "Forecasting China's stock market volatility with shrinkage method: Can Adaptive Lasso select stronger predictors from numerous predictors?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3689-3699, October.
- 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, vol. 75(4), pages 1022-1047, October.
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"Forecasting the Chinese stock market volatility: A regression approach with a t-distributed error,"
Applied Economics, Taylor & Francis Journals, vol. 54(50), pages 5811-5826, October.
Cited by:
- Yuqing Feng & Yaojie Zhang, 2025. "Forecasting Realized Volatility: The Choice of Window Size," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 692-705, March.
- 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, vol. 75(4), pages 1022-1047, October.
- 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., vol. 43(3), pages 567-582, April.
- 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, vol. 78(C).
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- Li Liu & Yudong Wang, 2021.
"Forecasting aggregate market volatility: The role of good and bad uncertainties,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 40-61, January.
Cited by:
- 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, vol. 40(3), pages 1022-1041.
- Xinjie Lu & Feng Ma & Jiqian Wang & Jing Liu, 2022. "Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 853-868, July.
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- 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., vol. 44(4), pages 557-584, April.
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- 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., vol. 40(1), pages 108-131, January.
Cited by:
- 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., vol. 40(8), pages 1463-1478, December.
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- Xianfeng Hao & Yudong Wang, 2023. "Forecasting the stock risk premium: A new statistical constraint," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1805-1822, November.
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"How does corporate investment react to oil prices changes? Evidence from China,"
Energy Economics, Elsevier, vol. 97(C).
Cited by:
- Wang, Kai-Hua & Su, Chi-Wei & Xiao, Yidong & Liu, Lu, 2022. "Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective," Energy, Elsevier, vol. 240(C).
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- Yonghui Zhan, 2024. "International oil price uncertainty and enterprise investment efficiency: An empirical research of listed companies in China," PLOS ONE, Public Library of Science, vol. 19(10), pages 1-17, October.
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- Song, Xinyu & Yang, Baochen, 2022. "Oil price uncertainty, corporate governance and firm performance," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 469-487.
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- Long, Shaobo & Zhang, Rui, 2022. "The asymmetric effects of international oil prices, oil price uncertainty and income on urban residents’ consumption in China," Economic Analysis and Policy, Elsevier, vol. 74(C), pages 789-805.
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"Forecasting stock returns: A time-dependent weighted least squares approach,"
Journal of Financial Markets, Elsevier, vol. 53(C).
Cited by:
- Wang, Yudong & Hao, Xianfeng, 2023. "Forecasting the real prices of crude oil: What is the role of parameter instability?," Energy Economics, Elsevier, vol. 117(C).
- Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
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- 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, vol. 81(C).
- 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, vol. 40(3), pages 1022-1041.
- Ma, Tian & Li, Ganghui & Zhang, Huajing, 2024. "Stock return predictability using economic narrative: Evidence from energy sectors," Journal of Commodity Markets, Elsevier, vol. 35(C).
- Yaojie Zhang & Mengxi He & Zhikai Zhang, 2024. "Forecasting stock returns with industry volatility concentration," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2705-2730, November.
- 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., vol. 43(2), pages 309-325, March.
- 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, vol. 75(4), pages 1022-1047, October.
- Zhang, Yaojie & He, Mengxi & Liao, Cunfei & Wang, Yudong, 2023. "Climate risk exposure and the cross-section of Chinese stock returns," Finance Research Letters, Elsevier, vol. 55(PB).
- Zhikai Zhang & Yaojie Zhang & Yudong Wang, 2024. "Forecasting the equity premium using weighted regressions: Does the jump variation help?," Empirical Economics, Springer, vol. 66(5), pages 2049-2082, May.
- Xiao, Jihong & Wang, Yudong, 2021.
"Investor attention and oil market volatility: Does economic policy uncertainty matter?,"
Energy Economics, Elsevier, vol. 97(C).
Cited by:
- Xu Gong & Mengjie Li & Keqin Guan & Chuanwang Sun, 2023. "Climate change attention and carbon futures return prediction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1261-1288, September.
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- Damien KUNJAL, 2023. "The Role of Investor Attention in ETF Liquidity," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 45-64.
- Xiao, Jihong & Chen, Xian & Li, Yang & Wen, Fenghua, 2022. "Oil price uncertainty and stock price crash risk: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
- Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
- Marie Bessec & Julien Fouquau, 2024.
"A Green Wave in Media: A Change of Tack in Stock Markets,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(5), pages 1026-1057, October.
- Marie Bessec & Julien Fouquau, 2024. "A Green Wave in Media: A Change of Tack in Stock Markets," Post-Print hal-04706501, HAL.
- Ahmed Salim Abrahem Aboulajras & Wagdi M. S. Khalifa & Ponle Henry Kareem, 2025. "Environmental Sustainability in Emerging Economies: The Impact of Natural Resource Rents, Energy Efficiency, and Economic Growth via Quantile Regression Analysis," Sustainability, MDPI, vol. 17(8), pages 1-18, April.
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- Lin, Boqiang & Chen, Yiyang & Gong, Xu, 2024. "Stress from attention: The relationship between climate change attention and crude oil markets," Journal of Commodity Markets, Elsevier, vol. 34(C).
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- Lin, Boqiang & Wei, Kai, 2024. "Does investor attitude toward carbon neutrality affect stock returns in China?," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Oguzhan Cepni & Duc Khuong Nguyen & Ahmet Sensoy, 2022. "News Media and Attention Spillover across Energy Markets: A Powerful Predictor of Crude Oil Futures Prices," The Energy Journal, , vol. 43(1_suppl), pages 1-30, June.
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- He, Feng & Yan, Yulin & Hao, Jing & Wu, Ji (George), 2022. "Retail investor attention and corporate green innovation: Evidence from China," Energy Economics, Elsevier, vol. 115(C).
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"Realized bipower variation, jump components, and option valuation,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1933-1958, December.
Cited by:
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"Realized skewness and the short-term predictability for aggregate stock market volatility,"
Economic Modelling, Elsevier, vol. 103(C).
Cited by:
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- Mengxi He & Yaojie Zhang & Yudong Wang & Danyan Wen, 2024. "Modelling and forecasting crude oil price volatility with climate policy uncertainty," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-10, December.
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- Niu, Zibo & Ma, Feng & Zhang, Hongwei, 2022. "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 112(C).
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- 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., vol. 43(3), pages 567-582, April.
- Matteo Bonato & Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Realized US Stock Market Volatility: Is there a Role for Economic Policy Uncertainty?," Working Papers 202408, University of Pretoria, Department of Economics.
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"Forecasting US stock market volatility: How to use international volatility information,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 733-768, August.
Cited by:
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- 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, vol. 65(C).
- Dai, Zhifeng & Luo, Zhuang & Liu, Chang, 2023. "Dynamic volatility spillovers and investment strategies between crude oil, new energy, and resource related sectors," Resources Policy, Elsevier, vol. 83(C).
- Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
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- 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, vol. 133(C).
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"Can commodity prices forecast exchange rates?,"
Energy Economics, Elsevier, vol. 87(C).
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""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine","
IREA Working Papers
202204, University of Barcelona, Research Institute of Applied Economics, revised Apr 2022.
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"Commodity Price Uncertainty as a Leading Indicator of Economic Activity,"
Essex Finance Centre Working Papers
27361, University of Essex, Essex Business School.
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"Frequency Volatility Connectedness and Portfolio Hedging of U.S. Energy Commodities,"
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""Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine","
IREA Working Papers
202204, University of Barcelona, Research Institute of Applied Economics, revised Apr 2022.
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"Oil price shocks and Chinese economy revisited: New evidence from SVAR model with sign restrictions,"
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"Regulation of Petrol and Diesel Prices and their Effects on GDP Growth: Evidence from China,"
CAMA Working Papers
2023-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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"Effects of Government Regulation of Diesel and Petrol Prices on GDP Growth: Evidence from China,"
ANU Working Papers in Economics and Econometrics
2023-690, Australian National University, College of Business and Economics, School of Economics.
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"Forecasting the real prices of crude oil using robust regression models with regularization constraints,"
Energy Economics, Elsevier, vol. 86(C).
Cited by:
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"Forecasting commodity prices out-of-sample: Can technical indicators help?,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
Cited by:
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"Industry equi-correlation: A powerful predictor of stock returns,"
Journal of Empirical Finance, Elsevier, vol. 59(C), pages 1-24.
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"Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?,"
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202087, University of Pretoria, Department of Economics.
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"Macroeconomic fundamentals, jump dynamics and expected volatility,"
Quantitative Finance, Taylor & Francis Journals, vol. 20(8), pages 1345-1371, August.
Cited by:
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"Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries,"
Energy, Elsevier, vol. 212(C).
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- Sheng, Xin & Kim, Won Joong & Gupta, Rangan & Ji, Qiang, 2023.
"The impacts of oil price volatility on financial stress: Is the COVID-19 period different?,"
International Review of Economics & Finance, Elsevier, vol. 85(C), pages 520-532.
- Xin Sheng & Won Joong Kim & Rangan Gupta, 2021. "The Impacts of Oil Price Volatility on Financial Stress: Is the COVID-19 Period Different?," Working Papers 202184, University of Pretoria, Department of Economics.
- Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.
- Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
- Rufei Zhang & Haizhen Zhang & Wang Gao & Ting Li & Shixiong Yang, 2022. "The Dynamic Effects of Oil Price Shocks on Exchange Rates—From a Time-Varying Perspective," Sustainability, MDPI, vol. 14(14), pages 1-20, July.
- 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, vol. 75(PB).
- Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Manuel Monge, 2024. "Fractional cointegration between energy imports to the EURO area and exchange rates to the US dollar," Empirical Economics, Springer, vol. 66(2), pages 859-882, February.
- Bruna, Karel & Van Tran, Quang, 2023. "Asymmetric effects of oil price shocks on EUR/USD exchange rate and structural shock decomposition in a BVAR model with sign restriction," Energy Economics, Elsevier, vol. 128(C).
- Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
- Simona Bigerna & Maria Chiara D’Errico & Paolo Polinori & Paul Simshauser, 2023.
"Net-Zero Policy vs Energy Security: The Impact on GCC Countries,"
The Energy Journal, , vol. 44(1_suppl), pages 1-32, November.
- Simona Bigerna & Maria Chiara D'Errico & Paolo Polinori & Paul Simshauser, 2024. "Net-Zero Policy vs Energy Security: The Impact on GCC Countries," The Energy Journal, , vol. 45(1_suppl), pages 133-164, November.
- Chandrarin, Grahita & Sohag, Kazi & Cahyaningsih, Diyah Sukanti & Yuniawan, Dani & Herdhayinta, Heyvon, 2022. "The response of exchange rate to coal price, palm oil price, and inflation in Indonesia: Tail dependence analysis," Resources Policy, Elsevier, vol. 77(C).
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- Pami Dua & Rajiv Ranjan & Deepika Goel, 2023. "Forecasting the INR/USD Exchange Rate: A BVAR Framework," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 183-224, Springer.
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- Neluka Devpura, 2021. "Can Oil Prices Predict Japanese Yen?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(3), pages 1-5.
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- Akyildirim, Erdinc & Cepni, Oguzhan & Molnár, Peter & Uddin, Gazi Salah, 2022. "Connectedness of energy markets around the world during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 109(C).
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- Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
- Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
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"It's not that important: The negligible effect of oil market uncertainty,"
International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.
Cited by:
- Noori, Mohammad, 2024. "Stock-oil comovements through fear, uncertainty, and expectations: Evidence from conditional comoments," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 529-551.
- Qingjie Zhou & Panpan Zhu & Yinpeng Zhang, 2023. "Contagion Spillover from Bitcoin to Carbon Futures Pricing: Perspective from Investor Attention," Energies, MDPI, vol. 16(2), pages 1-22, January.
- Alqahtani, Abdullah & Bouri, Elie & Vo, Xuan Vinh, 2020. "Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 239-249.
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"Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks,"
Energy, Elsevier, vol. 181(C), pages 815-826.
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- Lee, Hsiang-Tai & Lee, Chien-Chiang, 2022. "A regime-switching real-time copula GARCH model for optimal futures hedging," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Zhang, Qi & Di, Peng & Farnoosh, Arash, 2021. "Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models," Energy, Elsevier, vol. 223(C).
- Stavros Degiannakis & Christos Floros & Enrique Salvador & Dimitrios Vougas, 2022.
"On the stationarity of futures hedge ratios,"
Operational Research, Springer, vol. 22(3), pages 2281-2303, July.
- Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
- Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Seok-Jun Yun & Sun-Yong Choi & Young Sung Kim, 2023. "Examining the hedge performance of US dollar, VIX, and gold during the coronavirus pandemic: Is US dollar a better hedge asset?," PLOS ONE, Public Library of Science, vol. 18(10), pages 1-19, October.
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- Huilian Huang & Tao Xiong, 2023. "A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 968-1035, July.
- Sharma, Udayan & Karmakar, Madhusudan, 2023. "Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Kuang, Wei, 2022. "The economic value of high-frequency data in equity-oil hedge," Energy, Elsevier, vol. 239(PA).
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- Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
- Fang, Guochang & Chen, Gang & Yang, Kun & Yin, Weijun & Tian, Lixin, 2023. "Can green tax policy promote China's energy transformation?— A nonlinear analysis from production and consumption perspectives," Energy, Elsevier, vol. 269(C).
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- 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, vol. 55(C), pages 127-141.
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- Yang, Xiaolan & Wang, Jiaqi & Chen, Shu, 2024. "Impacts of CEO-employee pay disparity on investor behavior and market dynamics: Evidence from laboratory asset markets," China Economic Review, Elsevier, vol. 88(C).
- Li, Zhuolei & Diao, Xundi & Wu, Chongfeng, 2022. "The influence of mobile trading on return dispersion and herding behavior," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
- Ding, Hui & Huang, Yisu & Wang, Jiqian, 2023. "Have the predictability of oil changed during the COVID-19 pandemic: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Li, Yan & Liang, Chao & Huynh, Toan Luu Duc, 2022. "Forecasting US stock market returns by the aggressive stock-selection opportunity," Finance Research Letters, Elsevier, vol. 50(C).
- Zhao, Mengyang & Zhang, Lingxiao, 2023. "Foreign ownership, heterogeneous beliefs, and stock market volatility," Finance Research Letters, Elsevier, vol. 55(PA).
- Liu, Jing & He, Qiubei & Li, Yan & Huynh, Luu Duc Toan & Liang, Chao, 2023. "The change in stock-selection risk and stock market returns," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Lin, Boqiang & Li, Minyang, 2024. "Micro Mechanisms Driving China's Clean Energy Flourish: Business Expansion and Financing," International Review of Financial Analysis, Elsevier, vol. 92(C).
- Bai, Fan & Zhang, Yaqi & Chen, Zhonglu & Li, Yan, 2023. "The volatility of daily tug-of-war intensity and stock market returns," Finance Research Letters, Elsevier, vol. 55(PA).
- 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, vol. 80(C), pages 524-535.
Cited by:
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- Zhu, Huiming & Huang, Xi & Ye, Fangyu & Li, Shuang, 2024. "Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Guo, Yanhong & Li, Ping & Li, Aihua, 2021. "Tail risk contagion between international financial markets during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 73(C).
- Zhang, Yuanyuan & Zhao, Huiru & Li, Bingkang & Zhao, Yihang & Qi, Ze, 2022. "Research on credit rating and risk measurement of electricity retailers based on Bayesian Best Worst Method-Cloud Model and improved Credit Metrics model in China's power market," Energy, Elsevier, vol. 252(C).
- Liao, Jianhui & Zhu, Xuehong & Chen, Jinyu, 2021. "Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Mbarki, Imen & Khan, Muhammad Arif & Karim, Sitara & Paltrinieri, Andrea & Lucey, Brian M., 2023. "Unveiling commodities-financial markets intersections from a bibliometric perspective," Resources Policy, Elsevier, vol. 83(C).
- Hassan, Kamrul & Hoque, Ariful & Wali, Muammer & Gasbarro, Dominic, 2020. "Islamic stocks, conventional stocks, and crude oil: Directional volatility spillover analysis in BRICS," Energy Economics, Elsevier, vol. 92(C).
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- Jiliang Sheng & Juchao Li & Jun Yang, 2022. "Tail Dependency and Risk Spillover between Oil Market and Chinese Sectoral Stock Markets—An Assessment of the 2013 Refined Oil Pricing Reform," Energies, MDPI, vol. 15(16), pages 1-19, August.
- Weicheng Kong & Jinhua Cheng & Jianzhong Xiao, 2024. "Market Risk of Lithium Industry Chain—Evidence from Listed Companies," Energies, MDPI, vol. 17(23), pages 1-23, December.
- Hai-Chuan Xu & Zhi-Yuan Wang & Fredj Jawadi & Wei-Xing Zhou, 2023.
"Reconstruction of international energy trade networks with given marginal data: A comparative analysis,"
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- Wen, Danyan & Wang, Yudong, 2021. "Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications," Resources Policy, Elsevier, vol. 74(C).
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- Ge, Zhenyu, 2023. "The asymmetric impact of oil price shocks on China stock market: Evidence from quantile-on-quantile regression," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 120-125.
- Luo, Changqing & Fu, Xinxin & Chen, Carl R. & Dong, Liang, 2025. "Who is smarter? Evidence from extreme financial risk contagion in hedge funds and mutual funds," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
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- Jiang, Yong & Liu, Cenjie & Xie, Rui, 2021. "Oil price shocks and credit spread: Structural effect and dynamic spillover," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Zeng, Sheng & Liu, Xinchun & Li, Xiafei & Wei, Qi & Shang, Yue, 2019. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
- Lu, Xinjie & Ma, Feng & Wang, Jiqian & Wang, Jianqiong, 2020. "Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models," Energy, Elsevier, vol. 212(C).
- Xiang, Youtao & Borjigin, Sumuya, 2023. "Downside and upside risk spillovers between financial industry and real economy based on linear and nonlinear networks," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 1337-1374.
- Wen, Danyan & Wang, Yudong & Ma, Chaoqun & Zhang, Yaojie, 2020. "Information transmission between gold and financial assets: Mean, volatility, or risk spillovers?," Resources Policy, Elsevier, vol. 69(C).
- Cui, Jinxin & Maghyereh, Aktham & Goh, Mark & Zou, Huiwen, 2022. "Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments," Energy, Elsevier, vol. 238(PB).
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- Lu Yang & Shigeyuki Hamori, 2020. "Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach," Energies, MDPI, vol. 13(14), pages 1-27, July.
- Zhang, Dongna & Dai, Xingyu & Wang, Qunwei & Lau, Chi Keung Marco, 2023. "Impacts of weather conditions on the US commodity markets systemic interdependence across multi-timescales," Energy Economics, Elsevier, vol. 123(C).
- Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2022. "Implications of clean energy, oil and emissions pricing for the GCC energy sector stock," Energy Economics, Elsevier, vol. 112(C).
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- Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
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- Muhammad Kamran Khan & Jian-Zhou Teng & Muhammad Imran Khan, 2019. "Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model," PLOS ONE, Public Library of Science, vol. 14(6), pages 1-14, June.
- Ummara Razi & Calvin W. H. Cheong & Sahar Afshan & Arshian Sharif, 2025. "The ripple effects of energy price volatility on equity and debt markets: a Morlet wavelet analysis," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 15(1), pages 197-223, March.
- Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
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- Xiao, Di & Wang, Jun, 2020. "Dynamic complexity and causality of crude oil and major stock markets," Energy, Elsevier, vol. 193(C).
- Ngo Thai Hung & Xuan Vinh Vo, 2023. "Multi-scale Features of Interdependence Between Oil Prices and Stock Prices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 475-504, September.
- Makushkin, Mikhail & Lapshin, Victor, 2020. "Modelling tail dependencies between Russian and foreign stock markets: Application for market risk valuation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 57, pages 30-52.
- VDMV Lakshmi & Garima Sisodia & Anto Joseph & Aviral Kumar Tiwari, 2024. "The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3007-3022, July.
- Cui, Jinxin & Maghyereh, Aktham & Liao, Dijia, 2024. "Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments," International Review of Economics & Finance, Elsevier, vol. 95(C).
- Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.
- Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Sun Meng & Yan Chen, 2023. "Market Volatility Spillover, Network Diffusion, and Financial Systemic Risk Management: Financial Modeling and Empirical Study," Mathematics, MDPI, vol. 11(6), pages 1-16, March.
- Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2022. "Spillover effects between commodity and stock markets: A SDSES approach," Resources Policy, Elsevier, vol. 79(C).
- Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
- Cui, Jinxin & Goh, Mark & Zou, Huiwen, 2021. "Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets," Energy, Elsevier, vol. 225(C).
- Zhang, Xu & Lv, Zhiyu & Naeem, Muhammad Abubakr & Rauf, Abdul & Liu, Jiawen, 2024. "Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach," Finance Research Letters, Elsevier, vol. 63(C).
- Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
- Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
- Burcu Berke & Gülsüm Akarsu, 2024. "Volatility spillovers from COVID-19 to stocks, exchange rates and oil prices: evidence from Turkiye," Economics Bulletin, AccessEcon, vol. 44(3), pages 1254-1262.
- Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
- Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).
- Lin, Boqiang & Su, Tong, 2020. "Mapping the oil price-stock market nexus researches: A scientometric review," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 133-147.
- Ali, Syed Riaz Mahmood & Mensi, Walid & Anik, Kaysul Islam & Rahman, Mishkatur & Kang, Sang Hoon, 2022. "The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 345-372.
- Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
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"Dynamic optimal portfolio choice under time-varying risk aversion,"
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- Takuro Hidaka & Yuta Saito & Jun Sakamoto, 2021. "Historical Relationships and International Market Return Predictability: The Role of the UK in the Former British Colonies, Protectorates and Mandates," Discussion Papers in Economics and Business 21-08-Rev., Osaka University, Graduate School of Economics, revised Oct 2023.
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"Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
Cited by:
- Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Xue Gong & Weiguo Zhang & Yuan Zhao & Xin Ye, 2023. "Forecasting stock volatility with a large set of predictors: A new forecast combination method," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1622-1647, November.
- Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
- Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
- Hongcheng Ding & Xuanze Zhao & Zixiao Jiang & Shamsul Nahar Abdullah & Deshinta Arrova Dewi, 2024. "EUR-USD Exchange Rate Forecasting Based on Information Fusion with Large Language Models and Deep Learning Methods," Papers 2408.13214, arXiv.org.
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- Ye, Wuyi & Xia, Wenjing & Wu, Bin & Chen, Pengzhan, 2022. "Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market," International Review of Financial Analysis, Elsevier, vol. 83(C).
- Qiao, Gaoxiu & Teng, Yuxin & Li, Weiping & Liu, Wenwen, 2019. "Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 133-151.
- Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
- Jonathan A. Batten & Tonmoy Choudhury & Harald Kinateder & Niklas F. Wagner, 2023. "Volatility impacts on the European banking sector: GFC and COVID-19," Annals of Operations Research, Springer, vol. 330(1), pages 335-360, November.
- Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Xu Gong & Yujing Jin & Chuanwang Sun, 2022. "Time‐varying pure contagion effect between energy and nonenergy commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1960-1986, October.
- Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
- 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., vol. 41(2), pages 230-251, March.
- Adam Clements & Yin Liao & Yusui Tang, 2022. "Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 86-99, January.
- Tihana Škrinjarić, 2022. "Higher Moments Actually Matter: Spillover Approach for Case of CESEE Stock Markets," Mathematics, MDPI, vol. 10(24), pages 1-34, December.
- Hao Xu & Cheng Xu & Yanqi Sun & Jin Peng & Wenqizi Tian & Yan He, 2024. "Exchange Rate Forecasting Based on Integration of Gated Recurrent Unit (GRU) and CBOE Volatility Index (VIX)," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1539-1567, September.
- Wang, Yudong & Liu, Li & Ma, Feng & Diao, Xundi, 2018.
"Momentum of return predictability,"
Journal of Empirical Finance, Elsevier, vol. 45(C), pages 141-156.
Cited by:
- 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, vol. 77(C).
- Park, Jin Suk & Newaz, Mohammad Khaleq, 2021. "Liquidity and short-run predictability: Evidence from international stock markets," Global Finance Journal, Elsevier, vol. 50(C).
- Ana Sofia Monteiro & Helder Sebastião & Nuno Silva, 2025. "Prediction and Allocation of Stocks, Bonds, and REITs in the US Market," Computational Economics, Springer;Society for Computational Economics, vol. 65(3), pages 1191-1230, March.
- Xu, Yongan & Wang, Jianqiong & Chen, Zhonglu & Liang, Chao, 2021. "Economic policy uncertainty and stock market returns: New evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- 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, vol. 8(1), pages 1-31, December.
- 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, vol. 54(C), pages 97-117.
- Wen, Chufu & Zhu, Haoyang & Dai, Zhifeng, 2023. "Forecasting commodity prices returns: The role of partial least squares approach," Energy Economics, Elsevier, vol. 125(C).
- Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
- 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., vol. 43(5), pages 1595-1606, August.
- Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
- Zhang, Yaojie & Zeng, Qing & Ma, Feng & Shi, Benshan, 2019. "Forecasting stock returns: Do less powerful predictors help?," Economic Modelling, Elsevier, vol. 78(C), pages 32-39.
- Dai, Zhifeng & Zhu, Huan, 2021. "Indicator selection and stock return predictability," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Mahtab Athari & Atsuyuki Naka & Abdullah Noman, 2025. "Forecasting stock returns with sum-of-the-parts methodology: international evidence," Journal of Asset Management, Palgrave Macmillan, vol. 26(1), pages 91-114, February.
- Xu, Yongan & Liang, Chao & Wang, Jianqiong, 2023. "Financial stress and returns predictability: Fresh evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
- Wen, Zhuzhu & Gong, Xu & Ma, Diandian & Xu, Yahua, 2021. "Intraday momentum and return predictability: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 95(C), pages 374-384.
- Yongan Xu & Jianqiong Wang & Zhonglu Chen & Chao Liang, 2023. "Sentiment indices and stock returns: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1063-1080, January.
- Chen, Juan & Ma, Feng & Qiu, Xuemei & Li, Tao, 2023. "The role of categorical EPU indices in predicting stock-market returns," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 365-378.
- Qiao, Gaoxiu & Jiang, Gongyue & Yang, Jiyu, 2022. "VIX term structure forecasting: New evidence based on the realized semi-variances," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
- 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., vol. 43(3), pages 567-582, April.
- Dai, Zhifeng & Dong, Xiaodi & Kang, Jie & Hong, Lianying, 2020. "Forecasting stock market returns: New technical indicators and two-step economic constraint method," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
- Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
- Zhang, Yaojie & Ma, Feng & Zhu, Bo, 2019. "Intraday momentum and stock return predictability: Evidence from China," Economic Modelling, Elsevier, vol. 76(C), pages 319-329.
- Xu, Yongan & Liang, Chao & Li, Yan & Huynh, Toan L.D., 2022. "News sentiment and stock return: Evidence from managers’ news coverages," Finance Research Letters, Elsevier, vol. 48(C).
- Yae, James & Tian, George Zhe, 2022. "Out-of-sample forecasting of cryptocurrency returns: A comprehensive comparison of predictors and algorithms," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
- Thach Pham & Deepa Bannigidadmath & Robert Powell, 2025. "Industry return predictability using health policy uncertainty," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-42, December.
- Souropanis, Ioannis & Vivian, Andrew, 2023. "Forecasting realized volatility with wavelet decomposition," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Zhifeng Dai & Huiting Zhou, 2020. "Prediction of Stock Returns: Sum-of-the-Parts Method and Economic Constraint Method," Sustainability, MDPI, vol. 12(2), pages 1-13, January.
- Zhifeng Dai & Jie Kang & Hua Yin, 2023. "Forecasting equity risk premium: A new method based on wavelet de‐noising," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4331-4352, October.
- Dai, Zhifeng & Zhou, Huiting & Kang, Jie & Wen, Fenghua, 2021. "The skewness of oil price returns and equity premium predictability," Energy Economics, Elsevier, vol. 94(C).
- Yongsheng Yi & Feng Ma & Dengshi Huang & Yaojie Zhang, 2019. "Interest rate level and stock return predictability," Review of Financial Economics, John Wiley & Sons, vol. 37(4), pages 506-522, October.
- Nonejad, Nima, 2022. "Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact," Energy Economics, Elsevier, vol. 115(C).
- 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., vol. 26(3), pages 4410-4423, July.
- Qiao, Gaoxiu & Ma, Xuekun & Jiang, Gongyue & Wang, Lu, 2024. "Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 415-437.
- 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., vol. 40(1), pages 108-131, January.
- Dong, Dayong & Yue, Sishi & Cao, Jiawei, 2020. "Site visit information content and return predictability: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Dai, Zhifeng & Kang, Jie & Wen, Fenghua, 2021. "Predicting stock returns: A risk measurement perspective," International Review of Financial Analysis, Elsevier, vol. 74(C).
- Dai, Zhifeng & Zhu, Huan & Kang, Jie, 2021. "New technical indicators and stock returns predictability," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 127-142.
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"Volatility spillover from the US to international stock markets: A heterogeneous volatility spillover GARCH model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(3), pages 385-400, April.
Cited by:
- Reinhold Heinlein & Scott M. R. Mahadeo, 2023.
"Oil and US stock market shocks: Implications for Canadian equities,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
- Reinhold Heinlein & Scott M. R. Mahadeo, 2021. "Oil and US stock market shocks: implications for Canadian equities," Working Papers in Economics & Finance 2021-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
- Hassanniakalager, Arman & Baker, Paul L. & Platanakis, Emmanouil, 2024. "A False Discovery Rate approach to optimal volatility forecasting model selection," International Journal of Forecasting, Elsevier, vol. 40(3), pages 881-902.
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- Chao Liang & Yi Zhang & Yaojie Zhang, 2022. "Forecasting the volatility of the German stock market: New evidence," Applied Economics, Taylor & Francis Journals, vol. 54(9), pages 1055-1070, February.
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- Bumho Son & Yunyoung Lee & Seongwan Park & Jaewook Lee, 2023. "Forecasting global stock market volatility: The impact of volatility spillover index in spatial‐temporal graph‐based model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1539-1559, November.
- Pan, Zhiyuan & Shuai, Jiangyu & Liang, Zhilei & Sun, Xianchao, 2022. "Jump dynamics, spillover effect and option valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Mensi, Walid & Al Rababa'a, Abdel Razzaq & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Dynamic frequency volatility spillovers and connectedness between strategic commodity and stock markets: US-based sectoral analysis," Resources Policy, Elsevier, vol. 79(C).
- Zhang, Xu & Yang, Xian & He, Qizhi, 2022. "Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
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- Muhammad Abubakr Naeem & Mudassar Hasan & Abraham Agyemang & Md Iftekhar Hasan Chowdhury & Faruk Balli, 2023. "Time‐frequency dynamics between fear connectedness of stocks and alternative assets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2188-2201, April.
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- Li, Wenqi, 2021. "COVID-19 and asymmetric volatility spillovers across global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
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- Reinhold Heinlein & Scott M. R. Mahadeo, 2023.
"Oil and US stock market shocks: Implications for Canadian equities,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 56(1), pages 247-287, February.
- Wang, Yudong & Wei, Yu & Wu, Chongfeng & Yin, Libo, 2018.
"Oil and the short-term predictability of stock return volatility,"
Journal of Empirical Finance, Elsevier, vol. 47(C), pages 90-104.
Cited by:
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- Chao Liang & Yin Liao & Feng Ma & Bo Zhu, 2022. "United States Oil Fund volatility prediction: the roles of leverage effect and jumps," Empirical Economics, Springer, vol. 62(5), pages 2239-2262, May.
- Michael Frömmel & Eyup Kadioglu, 2023. "Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
- Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
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- Avraham Turgeman & Claudiu Botoc & Marilen Pirtea & Octavian Jude, 0000. "Modelling Intraday Realized Volatility: The Role Of Vix, Oil And Gold," Proceedings of Economics and Finance Conferences 14115804, International Institute of Social and Economic Sciences.
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"Oil volatility risk and stock market volatility predictability: Evidence from G7 countries,"
Energy Economics, Elsevier, vol. 68(C), pages 240-254.
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- Muhammad Shahbaz & Arshian Sharif & Fateh Belaid & Xuan Vinh Vo, 2023.
"Long‐run co‐variability between oil prices and economic policy uncertainty,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1308-1326, April.
- Muhammad Shahbaz & Arshian Sharif & Fateh Belaid & Xuan Vinh Vo, 2021. "Long‐run co‐variability between oil prices and economic policy uncertainty," Post-Print hal-03677996, HAL.
- Salisu, Afees A. & Ogbonna, Ahamuefula E. & Gupta, Rangan & Bouri, Elie, 2024.
"Energy-related uncertainty and international stock market volatility,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 280-293.
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"Time‐Varying Parameter Realized Volatility Models,"
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"Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model,"
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"Global financial cycle and the predictability of oil market volatility: Evidence from a GARCH-MIDAS model,"
Energy Economics, Elsevier, vol. 108(C).
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"The Effect of Oil Uncertainty Shock on Real GDP of 33 Countries: A Global VAR Approach,"
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202153, University of Pretoria, Department of Economics.
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"Modeling and forecasting commodity market volatility with long‐term economic and financial variables,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 126-142, March.
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"Forecasting Stock Market Volatility with Regime-Switching GARCH-MIDAS: The Role of Geopolitical Risks,"
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202203, University of Pretoria, Department of Economics.
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"Long‐run co‐variability between oil prices and economic policy uncertainty,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1308-1326, April.
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"A Note on Forecasting the Historical Realized Variance of Oil-Price Movements: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios,"
Energies, MDPI, vol. 14(20), pages 1-12, October.
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"The predictive power of oil price shocks on realized volatility of oil: A note,"
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"On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility,"
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- Wang, Yudong & Wu, Chongfeng & Yang, Li, 2016. "Forecasting crude oil market volatility: A Markov switching multifractal volatility approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 1-9.
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Energy Economics, Elsevier, vol. 42(C), pages 50-57.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 817-827.
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- Provash Mali & Amitabha Mukhopadhyay, 2015. "Multifractal characterization of gold market: a multifractal detrended fluctuation analysis," Papers 1506.08847, arXiv.org.
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"Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis,"
Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
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- 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, vol. 390(5), pages 864-875.
- Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1635-1642.
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"Analysing Systemic Risk in the Chinese Banking System,"
Pacific Economic Review, Wiley Blackwell, vol. 24(2), pages 348-372, May.
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- Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
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Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(23), pages 5468-5478.
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- Chen, Cheng & Wang, Yudong, 2017. "Understanding the multifractality in portfolio excess returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 346-355.
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- Zhang, Yahui & Liu, Li, 2018. "The lead-lag relationships between spot and futures prices of natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 203-211.
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- Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
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- Shi, Wenbin & Shang, Pengjian & Wang, Jing & Lin, Aijing, 2014. "Multiscale multifractal detrended cross-correlation analysis of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 35-44.
- Telli, Şahin & Chen, Hongzhuan, 2020. "Multifractal behavior in return and volatility series of Bitcoin and gold in comparison," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
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- Lv, Xiaodong & Shan, Xian, 2013. "Modeling natural gas market volatility using GARCH with different distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(22), pages 5685-5699.
- Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
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- Wang, Yudong & Wu, Chongfeng, 2012. "Long memory in energy futures markets: Further evidence," Resources Policy, Elsevier, vol. 37(3), pages 261-272.
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- Belhoula, Mohamed Malek & Mensi, Walid & Al-Yahyaee, Khamis Hamed, 2024. "Dynamic speculation and efficiency in European natural gas markets during the COVID-19 and Russia-Ukraine crises," Resources Policy, Elsevier, vol. 98(C).
- Ruan, Qingsong & Yang, Haiquan & Lv, Dayong & Zhang, Shuhua, 2018. "Cross-correlations between individual investor sentiment and Chinese stock market return: New perspective based on MF-DCCA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 243-256.
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Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
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