Number of items: 40.
Hu, H., Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754, Pan, J. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2024)
Environmental performance and credit ratings: a transatlantic study.
International Review of Financial Analysis.
103635.
ISSN 1873-8079
doi: https://doi.org/10.1016/j.irfa.2024.103635
Kokoszka, P., Kutta, T., Mohammadi, N., Wang, H. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2024)
Detection of a structural break in intraday volatility pattern.
Stochastic Processes and their Applications.
ISSN 1879-209X
doi: https://doi.org/10.1016/j.spa.2024.104426
Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754, Pan, J. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2024)
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels.
Journal of Commodity Markets, 34.
100391.
ISSN 2405-8513
doi: https://doi.org/10.1016/j.jcomm.2024.100391
He, Y., Lu, S., Wei, R. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2024)
Local media sentiment towards pollution and its effect on corporate green innovation.
International Review of Financial Analysis.
103332.
ISSN 1873-8079
doi: https://doi.org/10.1016/j.irfa.2024.103332
Kokoszka, P., Mohammadi, N., Wang, H. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2024)
Functional diffusion driven stochastic volatility model.
Bernoulli.
ISSN 1573-9759
(In Press)
Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521, Rangan, G., Matteo, B. and Oğuzhan, Ç.
(2024)
The effects of conventional and unconventional monetary policy shocks on US REITs moments: evidence from VARs with functional shocks.
Journal of Real Estate Finance and Economics.
ISSN 1573-045X
doi: https://doi.org/10.1007/s11146-024-09978-z
Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754, Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 and Xue, X.
(2023)
Loss function-based change point detection in risk measures.
European Journal of Operational Research, 310 (1).
pp. 415-431.
ISSN 0377-2217
doi: https://doi.org/10.1016/j.ejor.2023.03.033
Liu, Z., Lu, S., Li, B. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2023)
Time series momentum and reversal: intraday information from realized semivariance.
Journal of Empirical Finance, 72.
pp. 54-77.
ISSN 0927-5398
doi: https://doi.org/10.1016/j.jempfin.2023.03.001
Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521, Syntetos, A. A., Liu, Y., Di Cairano-Gilfedder, C. and Naim, M. M.
(2023)
Improving automotive garage operations by categorical forecasts using a large number of variables.
European Journal of Operational Research, 306 (2).
pp. 893-908.
ISSN 0377-2217
doi: https://doi.org/10.1016/j.ejor.2022.06.062
Apergis, N., Pan, W.-F., Reade, J. ORCID: https://orcid.org/0000-0002-8610-530X and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2023)
Modelling Australian electricity prices using indicator saturation.
Energy Economics, 120.
106616.
ISSN 1873-6181
doi: https://doi.org/10.1016/j.eneco.2023.106616
Rostami-Tabar, B., Goltsos, T. E. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2023)
Forecasting for lead-time period by temporal aggregation: whether to combine and how.
Computers in Industry, 145.
103803.
ISSN 0166-3615
doi: https://doi.org/10.1016/j.compind.2022.103803
Li, B., Liu, Z., Teka, H. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2023)
The evolvement of momentum effects in China: evidence from functional data analysis.
Research in International Business and Finance, 64.
101833.
ISSN 1878-3384
doi: https://doi.org/10.1016/j.ribaf.2022.101833
Horváth, L., Liu, Z., Rice, G., Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 and Zhan, Y.
(2023)
Testing stability in functional event observations with an application to IPO performance.
Journal of Business and Economic Statistics, 41 (4).
pp. 1262-1273.
ISSN 0735-0015
doi: https://doi.org/10.1080/07350015.2022.2118127
Horváth, L., Kokoszka, P., VanderDoes, J. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2022)
Inference in functional factor models with applications to yield curves.
Journal of Time Series Analysis, 43 (6).
pp. 872-894.
ISSN 1467-9892
doi: https://doi.org/10.1111/jtsa.12642
Pan, W.-F., Reade, J. ORCID: https://orcid.org/0000-0002-8610-530X and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2022)
Measuring US regional economic uncertainty.
Journal of Regional Science, 62 (4).
pp. 1149-1178.
ISSN 1467-9787
doi: https://doi.org/10.1111/jors.12590
Bouri, E., Gupta, R. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2022)
Nonlinear contagion between stock and real estate markets: international evidence from a local Gaussian correlation approach.
International Journal of Finance and Economics, 27 (2).
pp. 2089-2109.
ISSN 1099-1158
doi: https://doi.org/10.1002/ijfe.2261
Li, H., Liu, Z. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2022)
Vines climbing higher: risk management for commodity futures markets using a regular vine copula approach.
International Journal of Finance and Economics, 27 (2).
pp. 2438-2457.
ISSN 1099-1158
doi: https://doi.org/10.1002/ijfe.2280
Han, X., Liu, Z. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2022)
An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting.
Journal of Commodity Markets, 25.
100188.
ISSN 2405-8513
doi: https://doi.org/10.1016/j.jcomm.2021.100188
Pan, W.-F., Wang, X. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2022)
Measuring economic uncertainty in China.
Emerging Markets Finance and Trade, 58 (5).
pp. 1359-1389.
ISSN 1540-496X
doi: https://doi.org/10.1080/1540496X.2021.1873764
Liu, Z., Lu, S. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2021)
Asymmetry, tail risk and time series momentum.
International Review of Financial Analysis, 78.
101938.
ISSN 1057-5219
doi: https://doi.org/10.1016/j.irfa.2021.101938
Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521, Rangan, G. and Yue-Jun, Z.
(2021)
Bear, bull, sidewalk, and crash: the evolution of the US stock market using over a century of daily data.
Finance Research Letters, 43.
101998.
ISSN 1544-6123
doi: https://doi.org/10.1016/j.frl.2021.101998
Horváth, L., Kokoszka, P. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2021)
Monitoring for a change point in a sequence of distributions.
Annals of Statistics, 49 (4).
pp. 2271-2291.
ISSN 2168-8966
doi: https://doi.org/10.1214/20-AOS2036
Bouri, E., Lau, C. K. M., Saeed, T., Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 and Zhao, Y.
(2021)
On the intraday return curves of Bitcoin: predictability and trading opportunities.
International Review of Financial Analysis, 76.
101784.
ISSN 1057-5219
doi: https://doi.org/10.1016/j.irfa.2021.101784
Apergis, N., Lau, C. K. M., Şen, F. Ö. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2021)
Market integration between Turkey and Eurozone countries.
Emerging Markets Finance and Trade, 57 (9).
pp. 2674-2686.
ISSN 1540-496X
doi: https://doi.org/10.1080/1540496X.2019.1658070
Horváth, L., Kokoszka, P. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2020)
Testing normality of data on a multivariate grid.
Journal of Multivariate Analysis, 179.
104640.
ISSN 0047-259X
doi: https://doi.org/10.1016/j.jmva.2020.104640
Apergis, N., Gozgor, G., Lau, C. K. M. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2020)
Dependence structure in the Australian electricity markets: new evidence from regular vine copulae.
Energy Economics, 90.
104834.
ISSN 0140-9883
doi: https://doi.org/10.1016/j.eneco.2020.104834
Bonato, M., Gupta, R., Lau, C. K. M. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2020)
Moments-based spillovers across gold and oil markets.
Energy Economics, 89.
104799.
ISSN 0140-9883
doi: https://doi.org/10.1016/j.eneco.2020.104799
Balcilar, M., Gupta, R., Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 and Wohar, M. E.
(2020)
Oil price uncertainty and movements in the US Government bond risk premia.
North American Journal of Economics and Finance, 52.
101147.
ISSN 1062-9408
doi: https://doi.org/10.1016/j.najef.2020.101147
Chen, C., Liu, Y., Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521, Sun, X., Di Cairano-Gilfedder, C., Titmus, S. and Syntetos, A. A.
(2020)
Predictive maintenance using cox proportional hazard deep learning.
Advanced Engineering Informatics, 44.
101054.
ISSN 1474-0346
doi: https://doi.org/10.1016/j.aei.2020.101054
Horváth, L., Liu, Z., Rice, G. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2020)
Sequential monitoring for changes from stationarity to mild non-stationarity.
Journal of Econometrics, 215 (1).
pp. 209-238.
ISSN 0304-4076
doi: https://doi.org/10.1016/j.jeconom.2019.08.010
Horváth, L., Liu, Z., Rice, G. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2020)
A functional time series analysis of forward curves derived from commodity futures.
International Journal of Forecasting, 36 (2).
pp. 646-665.
ISSN 0169-2070
doi: https://doi.org/10.1016/j.ijforecast.2019.08.003
Apergis, N., Gozgor, G., Lau, C. K. M. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2019)
Decoding the Australian electricity market: new evidence from three-regime hidden semi-Markov model.
Energy Economics, 78.
pp. 129-142.
ISSN 0140-9883
doi: https://doi.org/10.1016/j.eneco.2018.10.038
Antoch, J., Hanousek, J., Horváth, L., Hušková, M. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2019)
Structural breaks in panel data: large number of panels and short length time series.
Econometric Reviews.
ISSN 1532-4168
doi: https://doi.org/10.1080/07474938.2018.1454378
Goltsos, T. E., Ponte, B., Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521, Liu, Y., Naim, M. M. and Syntetos, A. A.
(2019)
The boomerang returns? Accounting for the impact of uncertainties on the dynamics of remanufacturing systems.
International Journal of Production Research, 57 (23).
pp. 7361-7394.
ISSN 0020-7543
doi: https://doi.org/10.1080/00207543.2018.1510191
Bouri, E., Gupta, R., Lau, C. K. M., Roubaud, D. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2018)
Bitcoin and global financial stress: a copula-based approach to dependence and causality in the quantiles.
The Quarterly Review of Economics and Finance, 69.
pp. 297-307.
ISSN 1062-9769
doi: https://doi.org/10.1016/j.qref.2018.04.003
Liu, Z. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2017)
Decoding Chinese stock market returns: three-state hidden semi-Markov model.
Pacific-Basin Finance Journal, 44.
pp. 127-149.
ISSN 0927538X
doi: https://doi.org/10.1016/j.pacfin.2017.06.007
Horváth, L., Pouliot, W. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2017)
Detecting at-most-m changes in linear regression models.
Journal of Time Series Analysis, 38 (4).
pp. 552-590.
ISSN 1467-9892
doi: https://doi.org/10.1111/jtsa.12228
Lau, M. C. K., Vigne, S. A., Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 and Yarovaya, L.
(2017)
Return spillovers between white precious metal ETFs: the role of oil, gold, and global equity.
International Review of Financial Analysis, 52.
pp. 316-332.
ISSN 1057-5219
doi: https://doi.org/10.1016/j.irfa.2017.04.001
Liu, Z. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2017)
Understanding the Chinese stock market: international comparison and policy implications.
Economic and Political Studies, 5 (4).
pp. 441-455.
ISSN 2095-4816
doi: https://doi.org/10.1080/20954816.2017.1384616
Liu, Z., Han, D. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521
(2016)
Testing bubbles: exuberance and collapse in the Shanghai a-share stock market.
In: Song, L., Garnaut, R., Cai, F. and Johnston, L. (eds.)
China's New Sources of Economic Growth.
ANU Press, pp. 247-270.
ISBN 9781760460358
doi: https://doi.org/10.22459/CNSEG.07.2016.11
This list was generated on Sat Nov 2 08:56:18 2024 UTC.