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Forecasting carbon prices based on real-time decomposition and causal temporal convolutional networks 期刊论文
APPLIED ENERGY, 2023, 卷号: 331, 页码: 20
Authors:  Li, Dan;  Li, Yijun;  Wang, Chaoqun;  Chen, Min;  Wu, Qi
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Carbon price forecast  Granger forecast  Real-time decomposition  Neural Granger causality  Causal temporal convolutional network  
Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets 期刊论文
APPLIED ECONOMICS, 2022, 页码: 17
Authors:  Liu, Qing;  Wang, Shouyang;  Sui, Cong
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Volatility risk  risk-neutral skewness  options  cross-sectional regression  asymmetry  
Can financial crisis be detected? Laplacian energy measure 期刊论文
EUROPEAN JOURNAL OF FINANCE, 2022, 页码: 28
Authors:  Huang, Chuangxia;  Deng, Yunke;  Yang, Xin;  Yang, Xiaoguang;  Cao, Jinde
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Financial crisis  complex network  Laplacian energy  network structure  seasonal-trend decomposition procedure based on loess (STL)  
Bank loan information and information asymmetry in the stock market: evidence from China 期刊论文
Financial Innovation, 2022, 卷号: 8, 期号: 1
Authors:  Ye,Yanyi;  Wang,Yun;  Yang,Xiaoguang
Favorite  |  View/Download:37/0  |  Submit date:2022/06/21
Bank loan information  Information asymmetry  Corporate transparency  Loan default information  PIN  G12  G14  G21  
Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network 期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 卷号: 78, 页码: 81-94
Authors:  Huang, Chuangxia;  Zhao, Xian;  Deng, Yunke;  Yang, Xiaoguang;  Yang, Xin
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Complex network  Chinese energy stock market  High-frequency data  Jump volatility  Entropy weight TOPSIS  
Asset selection based on high frequency Sharpe ratio 期刊论文
JOURNAL OF ECONOMETRICS, 2022, 卷号: 227, 期号: 1, 页码: 168-188
Authors:  Wang, Christina Dan;  Chen, Zhao;  Lian, Yimin;  Chen, Min
Favorite  |  View/Download:75/0  |  Submit date:2022/04/29
Asset selection  High frequency Sharpe ratio  Ultrahigh dimensional  Serial correlation  Sure screening property  
Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets 期刊论文
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 卷号: 59, 页码: 14
Authors:  Jiang, Shangrong;  Li, Yuze;  Lu, Quanying;  Wang, Shouyang;  Wei, Yunjie
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Volatility spillover  Financial property  TVP-VAR model  Variational mode decomposition  Hypotheses testing  
IPO relative difficulty, M&A option and size effect 期刊论文
JOURNAL OF ASIAN ECONOMICS, 2021, 卷号: 76, 页码: 17
Authors:  Wan, Die;  Yang, Teng;  Yang, Xiaoguang
Favorite  |  View/Download:53/0  |  Submit date:2022/04/02
Small firm premium  IPO  Merger and acquisition  Financing difficulty  
Asymmetric responses to Purchasing Managers' Index announcements in China's stock returns 期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 页码: 19
Authors:  Wang, Yingli;  Lu, Chang;  Yang, Xiaoguang;  Zhang, Qingpeng
Favorite  |  View/Download:58/0  |  Submit date:2021/10/26
asymmetric response  Chinese stock market  economic period  individual investors  PMI announcements  rise-chasing and down-freezing  
A network perspective of comovement and structural change: Evidence from the Chinese stock market 期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 卷号: 76, 页码: 18
Authors:  Huang, Chuangxia;  Deng, Yunke;  Yang, Xiaoguang;  Cao, Jinde;  Yang, Xin
Favorite  |  View/Download:54/0  |  Submit date:2021/10/26
Chinese stock market  Comovement  Complex network  Engle-Granger test  Weighted LeaderRank algorithm