Details about Gang-Jin Wang

Access statistics for papers by Gang-Jin Wang.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pwa614

Working Papers

2021

1. Community detection and portfolio optimization
   Papers, arXiv.org
2. Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions
   Post-Print, HAL View citations (9)
   See also Journal Article Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions, International Review of Economics & Finance, Elsevier (2021) View citations (19) (2021)
3. Time domain and frequency domain Granger causality networks: Application to China’s financial institutions
   Post-Print, HAL View citations (1)
   See also Journal Article Time domain and frequency domain Granger causality networks: Application to China’s financial institutions, Finance Research Letters, Elsevier (2021) View citations (7) (2021)

2020

4. Predicting tail events in a RIA-EVT-Copula framework
   Papers, arXiv.org View citations (1)
   See also Journal Article Predicting tail events in a RIA-EVT-Copula framework, Physica A: Statistical Mechanics and its Applications, Elsevier (2022) (2022)
5. Sector connectedness in the Chinese stock markets
   Papers, arXiv.org
   See also Journal Article Sector connectedness in the Chinese stock markets, Empirical Economics, Springer (2022) View citations (12) (2022)

2018

6. The cooling-off effect of price limits in the Chinese stock markets
   Papers, arXiv.org View citations (5)
   See also Journal Article The cooling-off effect of price limits in the Chinese stock markets, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (5) (2018)

2017

7. Stock market as temporal network
   Papers, arXiv.org View citations (3)
   See also Journal Article Stock market as temporal network, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (30) (2018)

2016

8. Joint multifractal analysis based on wavelet leaders
   Papers, arXiv.org View citations (4)
9. Short term prediction of extreme returns based on the recurrence interval analysis
   Papers, arXiv.org
   See also Journal Article Short term prediction of extreme returns based on the recurrence interval analysis, Quantitative Finance, Taylor & Francis Journals (2018) View citations (10) (2018)

Journal Articles

2024

1. Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set
   International Review of Economics & Finance, 2024, 93, (PB), 673-711
2. How do market volatility and risk aversion sentiment inter-influence over time? Evidence from Chinese SSE 50 ETF options
   International Review of Financial Analysis, 2024, 95, (PB) View citations (1)
3. Interconnectedness between Islamic and conventional banks: a multilayer network view
   International Journal of Islamic and Middle Eastern Finance and Management, 2024, 17, (5), 883-914
4. Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective
   Journal of International Financial Markets, Institutions and Money, 2024, 91, (C) View citations (2)
5. Multilayer information spillover network between ASEAN-4 and global bond, forex and stock markets
   Finance Research Letters, 2024, 59, (C)
6. Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions
   International Review of Economics & Finance, 2024, 92, (C), 909-928 View citations (1)
7. Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system
   Finance Research Letters, 2024, 59, (C) View citations (2)
8. Systemic risk prediction using machine learning: Does network connectedness help prediction?
   International Review of Financial Analysis, 2024, 93, (C)
9. Who dominate the information flowing between innovative and traditional financial assets? A multiscale entropy-based approach
   International Review of Economics & Finance, 2024, 93, (PB), 329-358

2023

10. Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning
    Research in International Business and Finance, 2023, 64, (C) View citations (7)
11. Forecasting global stock market volatilities in an uncertain world
    International Review of Financial Analysis, 2023, 85, (C) View citations (2)
12. Forecasting stock market volatility under parameter and model uncertainty
    Research in International Business and Finance, 2023, 66, (C) View citations (4)
13. Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets
    International Review of Financial Analysis, 2023, 86, (C) View citations (24)
14. Multilayer information spillover networks between oil shocks and banking sectors: Evidence from oil-rich countries
    International Review of Financial Analysis, 2023, 87, (C) View citations (11)
15. Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China
    Global Finance Journal, 2023, 58, (C) View citations (3)
16. Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers
    Journal of International Financial Markets, Institutions and Money, 2023, 83, (C) View citations (22)
17. Systemic risk propagation in the Eurozone: A multilayer network approach
    International Review of Economics & Finance, 2023, 88, (C), 332-346 View citations (5)
18. Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries
    Emerging Markets Review, 2023, 55, (C) View citations (14)

2022

19. Bearish Vs Bullish risk network: A Eurozone financial system analysis
    Journal of International Financial Markets, Institutions and Money, 2022, 77, (C) View citations (9)
20. Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective
    Emerging Markets Review, 2022, 52, (C) View citations (9)
21. Multilayer network analysis of investor sentiment and stock returns
    Research in International Business and Finance, 2022, 62, (C) View citations (16)
22. Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions
    The North American Journal of Economics and Finance, 2022, 60, (C) View citations (8)
23. Predicting tail events in a RIA-EVT-Copula framework
    Physica A: Statistical Mechanics and its Applications, 2022, 600, (C)
    See also Working Paper Predicting tail events in a RIA-EVT-Copula framework, Papers (2020) View citations (1) (2020)
24. Sector connectedness in the Chinese stock markets
    Empirical Economics, 2022, 62, (2), 825-852 View citations (12)
    See also Working Paper Sector connectedness in the Chinese stock markets, Papers (2020) (2020)

2021

25. BP-CVaR: A novel model of estimating CVaR with back propagation algorithm
    Economics Letters, 2021, 209, (C) View citations (1)
26. Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model
    International Review of Economics & Finance, 2021, 72, (C), 1-15 View citations (9)
27. Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions
    International Review of Economics & Finance, 2021, 73, (C), 325-347 View citations (19)
    See also Working Paper Multilayer information spillover networks analysis of China’s financial institutions based on variance decompositions, Post-Print (2021) View citations (9) (2021)
28. Multilayer information spillover networks: measuring interconnectedness of financial institutions
    Quantitative Finance, 2021, 21, (7), 1163-1185 View citations (24)
29. Time domain and frequency domain Granger causality networks: Application to China’s financial institutions
    Finance Research Letters, 2021, 39, (C) View citations (7)
    See also Working Paper Time domain and frequency domain Granger causality networks: Application to China’s financial institutions, Post-Print (2021) View citations (1) (2021)

2020

30. Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?
    Research in International Business and Finance, 2020, 54, (C) View citations (53)
31. Business conditions, uncertainty shocks and Bitcoin returns
    Evolutionary and Institutional Economics Review, 2020, 17, (2), 415-424 View citations (4)
32. Volatility connectedness in global foreign exchange markets
    Journal of Multinational Financial Management, 2020, 54, (C) View citations (50)

2019

33. Forecasting SMEs' credit risk in supply chain finance with an enhanced hybrid ensemble machine learning approach
    International Journal of Production Economics, 2019, 211, (C), 22-33 View citations (32)
34. Further Mining the Predictability of Moving Averages: Evidence from the US Stock Market
    International Review of Finance, 2019, 19, (2), 413-433 View citations (3)
35. Risk spillovers between oil and stock markets: A VAR for VaR analysis
    Energy Economics, 2019, 80, (C), 524-535 View citations (60)
36. When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin
    Finance Research Letters, 2019, 31, (C) View citations (109)

2018

37. Correlation Structure and Evolution of World Stock Markets: Evidence from Pearson and Partial Correlation-Based Networks
    Computational Economics, 2018, 51, (3), 607-635 View citations (77)
38. Cross-correlations and influence in world gold markets
    Physica A: Statistical Mechanics and its Applications, 2018, 490, (C), 504-512 View citations (20)
39. Interconnectedness and systemic risk of China's financial institutions
    Emerging Markets Review, 2018, 35, (C), 1-18 View citations (25)
40. Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 903-918 View citations (4)
41. Short term prediction of extreme returns based on the recurrence interval analysis
    Quantitative Finance, 2018, 18, (3), 353-370 View citations (10)
    See also Working Paper Short term prediction of extreme returns based on the recurrence interval analysis, Papers (2016) (2016)
42. Stock market as temporal network
    Physica A: Statistical Mechanics and its Applications, 2018, 506, (C), 1104-1112 View citations (30)
    See also Working Paper Stock market as temporal network, Papers (2017) View citations (3) (2017)
43. The cooling-off effect of price limits in the Chinese stock markets
    Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 153-163 View citations (5)
    See also Working Paper The cooling-off effect of price limits in the Chinese stock markets, Papers (2018) View citations (5) (2018)
44. Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?
    Journal of International Financial Markets, Institutions and Money, 2018, 57, (C), 205-230 View citations (47)
45. Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency?
    International Review of Financial Analysis, 2018, 60, (C), 98-114 View citations (190)

2017

46. Extreme risk spillover network: application to financial institutions
    Quantitative Finance, 2017, 17, (9), 1417-1433 View citations (125)
47. Multiscale correlation networks analysis of the US stock market: a wavelet analysis
    Journal of Economic Interaction and Coordination, 2017, 12, (3), 561-594 View citations (29)
48. Stock market contagion during the global financial crisis: A multiscale approach
    Finance Research Letters, 2017, 22, (C), 163-168 View citations (48)

2016

49. Extreme risk spillover effects in world gold markets and the global financial crisis
    International Review of Economics & Finance, 2016, 46, (C), 55-77 View citations (46)
50. Predicting China’s SME Credit Risk in Supply Chain Financing by Logistic Regression, Artificial Neural Network and Hybrid Models
    Sustainability, 2016, 8, (5), 1-17 View citations (22)
51. The Stability of Interbank Market Network: A Perspective on Contagion and Risk Sharing
    Advances in Mathematical Physics, 2016, 2016, 1-8
52. Who are the net senders and recipients of volatility spillovers in China’s financial markets?
    Finance Research Letters, 2016, 18, (C), 255-262 View citations (52)

2015

53. Correlation structure and dynamics of international real estate securities markets: A network perspective
    Physica A: Statistical Mechanics and its Applications, 2015, 424, (C), 176-193 View citations (42)
54. Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN
    Mathematical Problems in Engineering, 2015, 2015, 1-10 View citations (1)

2014

55. A New Method for Setting Futures Portfolios’ Maintenance Margins: Evidence from Chinese Commodity Futures Markets
    Journal of Applied Mathematics, 2014, 2014, 1-11
56. Cross-Correlations between Energy and Emissions Markets: New Evidence from Fractal and Multifractal Analysis
    Mathematical Problems in Engineering, 2014, 2014, 1-13 View citations (5)
57. Detrended minimum-variance hedge ratio: A new method for hedge ratio at different time scales
    Physica A: Statistical Mechanics and its Applications, 2014, 405, (C), 70-79 View citations (19)
58. Dynamics of Foreign Exchange Networks: A Time-Varying Copula Approach
    Discrete Dynamics in Nature and Society, 2014, 2014, 1-11 View citations (7)

2013

59. Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (6), 1418-1428 View citations (35)
60. Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (17), 3715-3730 View citations (45)

2012

61. Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (16), 4136-4146 View citations (49)