2024

Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754, Pan, J. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 (2024) Measuring climate-related and environmental risks for equities. Journal of Environmental Management. ISSN 0301-4797 doi: https://doi.org/10.1016/j.jenvman.2024.123393 (In Press)

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

2023

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

2022

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

2021

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

2020

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

2019

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

2018

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

2017

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

2016

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